Estimation of Stock Price Variances and Serial Covariances from Discrete Observations

Theory of probability

1939 • 6,981 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

Stock return variances

1986 • 1,878 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

The Only Game in Town

1971 • 899 citations

The degree of price resolution: The case of the gold market

1985 • 247 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

Clustering of Stock Prices

1965 • 156 citations

A New Look at Clustering of Stock Prices

1966 • 99 citations

Non-trading, market making, and estimates of stock price volatility

1986 • 59 citations

Deleted Work

1955 • 0 citations