bidask-package {bidask}R Documentation

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

Description

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.

Author(s)

Maintainer: Emanuele Guidotti emanuele.guidotti@usi.ch (ORCID)

Other contributors:

See Also

Useful links:


[Package bidask version 2.1.4 Index]