bidask: 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) <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>.

Version: 0.1.0
Depends: xts
Imports: zoo
Published: 2021-07-26
Author: Emanuele Guidotti ORCID iD [aut, cre], David Ardia ORCID iD [ctb], Tim Kroencke ORCID iD [ctb]
Maintainer: Emanuele Guidotti <emanuele.guidotti at unine.ch>
License: GPL-3
NeedsCompilation: no
Citation: bidask citation info
In views: Finance
CRAN checks: bidask results

Documentation:

Reference manual: bidask.pdf

Downloads:

Package source: bidask_0.1.0.tar.gz
Windows binaries: r-devel: bidask_0.1.0.zip, r-release: bidask_0.1.0.zip, r-oldrel: bidask_0.1.0.zip
macOS binaries: r-release (arm64): bidask_0.1.0.tgz, r-release (x86_64): bidask_0.1.0.tgz, r-oldrel: bidask_0.1.0.tgz

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