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Price elasticity and bid-ask price spreads in the treasury bond market

โœ Scribed by John S. Bildersee


Book ID
119080535
Publisher
Elsevier Science
Year
1980
Tongue
English
Weight
405 KB
Volume
8
Category
Article
ISSN
0148-2963

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โœ Daniel O. Cajueiro; Benjamin M. Tabak ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 136 KB

This paper presents evidence of long-range dependence in bid-ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid-ask prices shows a