Ardia D, Guidotti E, Kroencke TA (2024). “Efficient estimation of bid–ask spreads from open, high, low, and close prices.” Journal of Financial Economics, 161, 103916. doi:10.1016/j.jfineco.2024.103916.

Corresponding BibTeX entry:

  @Article{,
    title = {Efficient estimation of bid–ask spreads from open, high,
      low, and close prices},
    journal = {Journal of Financial Economics},
    year = {2024},
    author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
    volume = {161},
    pages = {103916},
    doi = {10.1016/j.jfineco.2024.103916},
  }