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) <doi:10.1016/j.jfineco.2024.103916>.
It also provides an implementation of the estimators described in
Roll (JF, 1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>,
Corwin & Schultz (JF, 2012) <doi:10.1111/j.1540-6261.2012.01729.x>,
and Abdi & Ranaldo (RFS, 2017) <doi:10.1093/rfs/hhx084>.
| Version: |
2.1.5 |
| Imports: |
data.table |
| Suggests: |
xts, zoo, dplyr, crypto2, quantmod, ggplot2, knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: |
2025-10-13 |
| DOI: |
10.32614/CRAN.package.bidask |
| Author: |
Emanuele Guidotti 
[aut, cre],
David Ardia [ctb],
Tim Kroencke
[ctb] |
| Maintainer: |
Emanuele Guidotti <emanuele.guidotti at usi.ch> |
| BugReports: |
https://github.com/eguidotti/bidask/issues |
| License: |
MIT + file LICENSE |
| URL: |
https://github.com/eguidotti/bidask |
| NeedsCompilation: |
no |
| Citation: |
bidask citation info |
| Materials: |
README |
| In views: |
Finance |
| CRAN checks: |
bidask results |
Documentation:
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