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bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices described in Ardia, Guidotti, & Kroencke (JFE, 2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described in Roll (JF, 1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (JF, 2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (RFS, 2017) <doi:10.1093/rfs/hhx084>.
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Package details |
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| Author | Emanuele Guidotti [aut, cre] (<https://orcid.org/0000-0002-8961-6623>), David Ardia [ctb] (<https://orcid.org/0000-0003-2823-782X>), Tim Kroencke [ctb] (<https://orcid.org/0000-0001-8700-356X>) |
| Maintainer | Emanuele Guidotti <emanuele.guidotti@usi.ch> |
| License | MIT + file LICENSE |
| Version | 2.1.4 |
| URL | https://github.com/eguidotti/bidask |
| Package repository | View on CRAN |
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