Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058563 | Economics Letters | 2015 | 5 Pages |
Abstract
â¢We evaluate the estimation methods for the LOT-model through a simulation study.â¢The Mixed method will overestimate the true spread severely and is not consistent.â¢We suggest to use the Y-split estimation method instead in practice.
Based on an extensive simulation study and a real data analysis, we show that the widely used estimation method of LOT liquidity model, i.e. the Mixed MLE method, is not consistent and the Y-split method should be used instead.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Wandi Zhao, Mingjin Wang,