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

Implements a novel estimation procedure of bid-ask spreads from open, high, low, and close prices as described in Ardia-Guidotti-Kroencke < https://www.ssrn.com/abstract=3892335>. Moreover, it provides an implementation of the estimators proposed in Roll (1984) , Corwin-Schultz (2012) , and Abdi-Ranaldo (2017) .


Reference manual

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0.1.0 by Emanuele Guidotti, 4 months ago

Browse source code at https://github.com/cran/bidask

Authors: Emanuele Guidotti [aut, cre] , David Ardia [ctb] , Tim Kroencke [ctb]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-3 license

Imports zoo

Depends on xts

See at CRAN