Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/629928
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dc.contributor.authorChen, Dar-Hsin-
dc.contributor.authorBlenman, Lloyd P.-
dc.date.accessioned2023-11-20T01:01:36Z-
dc.date.available2023-11-20T01:01:36Z-
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/629928-
dc.description.abstractThis paper presents a generalized serial covariance spread pricing model in which the existing spread models are unified and the three cost components of spread - order processing, adverse information, and inventory holding costs - are considered The basic idea is to modify Stall's (1989) model by incorporating a two-period conditional probability. This paper also proposes a methodology to estimate the input parameters It shows that this extended model is a generalization of the models developed by Roll ( 1984), Choi, Slandro, and Shastri (1988), Stoll ( 1989), and Chu, Ding, and Pyun ( 1996)en_US
dc.language.isoenen_US
dc.publisherNanyang Business School, Nanyang Technological Universityen_US
dc.subjectResearch modelsen_US
dc.subjectBid-ask spread jointlyen_US
dc.titleAn extended model of serial covariance bid-ask spreadsen_US
dc.typeSeminar Papersen_US
dc.format.pages88en_US
dc.identifier.callnoHG4026.A536 1999 semen_US
dc.contributor.conferencenameEleventh Annual PACAP/FMA Finance Conference-
dc.coverage.conferencelocationPan Pacific Hotel, Singapore-
dc.date.conferencedate1999-07-08-
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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