Construct · 1 fields · 1 citations

Corwin-Schultz spread estimator: a standalone construct

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Corwin-Schultzspread estimator1 CONSTRUCTCorwin-Schultz spreadCORWIN · FINANCE

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Finance

estimate of the bid-ask spread built from daily high and low prices, separating the spread component from volatility.

In finance, Corwin-Schultz spread estimator refers to estimate of the bid-ask spread built from daily high and low prices, separating the spread component from volatility. This meaning comes from Corwin (2012) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

component3 fields · 5 citationsjingle · one word, three constructsestimator2 fields · 2 citationsjingle · one word, two constructsspread5 fields · 5 citationsjingle · one word, five constructs

References

  1. Corwin, S. A., & Schultz, P. (2012). A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices. The Journal of Finance, 67(2), 719-760. https://doi.org/10.1111/j.1540-6261.2012.01729.x

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