The Corwin-Schultz Estimator is a bid-ask spread estimation metric in financial econometrics that uses high-low price data from consecutive trading periods to infer the relative spread of an asset, distinguishing itself from other liquidity measures by requiring only widely available price data and not relying on direct transaction or order book data.
6
Publications
624
Citations
14
Authors
6
Institutions
Publications per year
2017–2026
1
Parents
Publications
6
Measuring Liquidity in Bond Markets
Raphael Schestag, Philipp Schuster, Marliese Uhrig‐Homburg · Review of Financial Studies · 2016 · 255 citations
Studies in Mathematical Economics and Econometrics. In Memory of Henry Schultz.
A. L. Bowley, Oscar Lange, Francis McIntyre et al. · The Economic Journal · 1942 · 121 citations
1–5 of 6
Authors
14
- PS
2
h-index
- RS
2
h-index
- MU
2
h-index
- ALA. L. Bowley
1 publications · 121 citations
1
h-index
- MB
1
h-index
1–5 of 14
Institutions
6
Karlsruhe Institute of Technology
Karlsruhe, Germany
2 h-index
5 publications
795 citations
Scuola Superiore Sant'Anna
Pisa, Italy
1 h-index
2 publications
66 citations
Stuttgart Technical University of Applied Sciences
Stuttgart, Germany
1 h-index
1 publications
15 citations
University of Lausanne
Lausanne, Switzerland
1 h-index
2 publications
368 citations
Scuola Normale Superiore
Pisa, Italy
1 h-index
1 publications
33 citations
University of Stuttgart
Stuttgart, Germany
1 h-index
1 publications
15 citations
1–6 of 6
Venues
- Journal of Evolutionary Economics
JEE · 1 publications · 33 citations
1
h-index
- METRON
1 publications · 16 citations
1
h-index
- Review of Financial Studies
1 publications · 255 citations
1
h-index
- The Economic Journal
1 publications · 121 citations
1
h-index
- SSRN Electronic Journal
Repository · 1 publications · 15 citations
1
h-index
1–5