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oai:www.ideals.illinois.edu:2142/99420 2023-07-11 col_2142_5131 col_2142_13850 com_2142_5130 com_2142_684 com_2142_397

Irwin, Scott H. Garcia, Philip Robe, Michel A Serra Devesa, Maria Teresa Tremacoldi Rossi, Pedro 2018-03-13T15:49:14Z 2018-03-13T15:49:14Z 2017-12-12 2017-12 In spite of the increasing availability of high-quality data and the possibility of obtaining direct commodity trading costs in recent periods, historical series of transaction costs still require bid-ask spread estimation. In this work, we verify whether the popular high-low spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from measurement error increasing in the volatility-to-spread ratio and consistently positive error in a variety of empirical and experimental settings. As the measurement error in the high-low estimator depends on ex-ante knowledge about the usually unobserved true spread level, we conclude that the spread measure is not well-behaved and should be avoided in commodity markets. Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2018-03-13 without embargo terms The student, Pedro Tremacoldi Rossi, accepted the attached license on 2017-12-11 at 19:08. The student, Pedro Tremacoldi Rossi, submitted this Thesis for approval on 2017-12-11 at 19:17. This Thesis was approved for publication on 2017-12-12 at 16:27. DSpace SAF Submission Ingestion Package generated from Vireo submission #11948 on 2018-03-13 at 10:12:17 Made available in DSpace on 2018-03-13T15:49:14Z (GMT). No. of bitstreams: 2 TREMACOLDIROSSI-THESIS-2017.pdf: 1197113 bytes, checksum: 7df60181440d2b9c2dd61c6961dfacfc (MD5) LICENSE.txt: 4219 bytes, checksum: 15ca52f9cfd985918092b94cb7631a24 (MD5) Previous issue date: 2017-12-12 application/pdf http://hdl.handle.net/2142/99420 eng Copyright 2017 Pedro Tremacoldi Rossi Commodity futures Bid-ask spreads Transaction costs The high–low spread estimator is not well–behaved in commodity markets text text Agr & Consumer Economics Agricultural & Applied Econ University of Illinois at Urbana-Champaign Thesis M.S.