bidask-package

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) tools:::Rd_expr_doi("10.1016/j.jfineco.2024.103916") . It also provides an implementation of the estimators described in Roll (JF, 1984) tools:::Rd_expr_doi("10.1111/j.1540-6261.1984.tb03897.x") , Corwin & Schultz (JF, 2012) tools:::Rd_expr_doi("10.1111/j.1540-6261.2012.01729.x") , and Abdi & Ranaldo (RFS, 2017) tools:::Rd_expr_doi("10.1093/rfs/hhx084") . package

See Also

Useful links:

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

Author(s)

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

Other contributors:

• David Ardia (ORCID) [contributor]
• Tim Kroencke (ORCID) [contributor]