Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Abdi-Ranaldo Estimator
bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, ...
Corwin-Schultz Estimator
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Clos...
OHLC Estimators
Rolling mean
Roll Estimator
Rolling sum
Simulation of Open, High, Low, and Close Prices
Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described in Roll (1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (2017) <doi:10.1093/rfs/hhx084>.