bidask-package: bidask: Efficient Estimation of Bid-Ask Spreads from Open,...

In bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Description

Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2024) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jfineco.2024.103916")}. It also provides an implementation of the estimators described in Roll (1984) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.1540-6261.1984.tb03897.x")}, Corwin & Schultz (2012) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.1540-6261.2012.01729.x")}, and Abdi & Ranaldo (2017) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/rfs/hhx084")}.

Author(s)

Maintainer: Emanuele Guidotti [e-mail] (ORCID)

Other contributors:

• David Ardia (ORCID) [contributor]

• Tim Kroencke (ORCID) [contributor]

See Also

Useful links:

• https://github.com/eguidotti/bidask

• Report bugs at https://github.com/eguidotti/bidask/issues

bidask documentation built on Sept. 11, 2024, 9 p.m.