Before revision:  Three regression approaches, OLS, two-step Lasso and Elastic Net, are adopted to identify key features for the bid-ask spread of corporate bonds. The second step is to use the non-parametric approach to estimate the amplitude and decay pattern of price impact .
After revision:  Three regression approaches, OLS, two-step Lasso and Elastic Net, are adopted to identify key features for the bid-ask spread and the mid-price movements. The third step is to use the non-parametric approach to estimate the amplitude and decay pattern of price impact .