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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chen, Dar-Hsin | - |
dc.contributor.author | Blenman, Lloyd P. | - |
dc.date.accessioned | 2023-11-20T01:01:36Z | - |
dc.date.available | 2023-11-20T01:01:36Z | - |
dc.identifier.uri | https://ptsldigital.ukm.my/jspui/handle/123456789/629928 | - |
dc.description.abstract | This 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.iso | en | en_US |
dc.publisher | Nanyang Business School, Nanyang Technological University | en_US |
dc.subject | Research models | en_US |
dc.subject | Bid-ask spread jointly | en_US |
dc.title | An extended model of serial covariance bid-ask spreads | en_US |
dc.type | Seminar Papers | en_US |
dc.format.pages | 88 | en_US |
dc.identifier.callno | HG4026.A536 1999 sem | en_US |
dc.contributor.conferencename | Eleventh Annual PACAP/FMA Finance Conference | - |
dc.coverage.conferencelocation | Pan Pacific Hotel, Singapore | - |
dc.date.conferencedate | 1999-07-08 | - |
Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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