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A Sharp Model of Bid-Ask Spread Forecasts
31/31 checkable references clean · checked 2026-08-29
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
4 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 31 checked references that resolve
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Optimal execution strategies in limit order books with general shape functions
resolves10.1080/135048602100056
Optimal execution with nonlinear impact functions and trading-enhanced risk
resolves10.2307/2938229
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
resolves10.1016/0304-4076(95)01732-1
Long memory processes and fractional integration in econometrics
resolves10.1016/j.csda.2006.09.030
Financial econometric analysis at ultra-high frequency: Data handling concerns
resolves10.3390/econometrics5020016
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
resolves10.1080/14697688.2010.528444
The price impact of order book events: market orders, limit orders and cancellations
resolves10.1142/s0219024911006577
OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
resolves10.1002/for.2267
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
resolves10.2139/ssrn.1117187
Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model
resolves10.1016/j.jempfin.2006.07.004
Multivariate autoregressive modeling of time series count data using copulas
resolves10.1007/s00181-005-0001-1
Modelling financial transaction price movements: a dynamic integer count data model
resolves10.2307/1913610
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
resolves10.1016/s0378-4266(01)00173-x
The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange
resolves10.1016/j.jbankfin.2013.05.013
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
The 4 references without a DOI — listed, not checked
no DOI — not checkedref12
no DOI — not checkedGrappling with GARCH
no DOI — not checkedref21
no DOI — not checkedof Handbook of Econometrics
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