Economic Fellow, Office of Economic Analysis, U.S. Securities and Exchange Commission, and Associate Professor of Finance and Business Economics, School of Business Administration, University of Southern California. The comments and opinions contained in this paper are those of the author only. In particular, the views here expressed do not necessarily reflect those of the U.S. Securities and Exchange Commission or of the author's colleagues on its staff. I first developed the ideas presented here for presentation to a Ph.D. Seminar in Empirical Methods in Finance that I led at the University of Southern California. I wish to thank my students, Carolyn C. Wu Chang and Suh-Pyng Ku, for their participation and patience. Any remaining errors are mine alone.
Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 2, pages 579–590, June 1990
How to Cite
HARRIS, L. (1990), Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator. The Journal of Finance, 45: 579–590. doi: 10.1111/j.1540-6261.1990.tb03704.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Options for accessing this content:
- If you have access to this content through a society membership, please first log in to your society website.
- If you would like institutional access to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!