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: 2.1.4 Imports: data.table Suggests: xts, zoo, dplyr, crypto2, quantmod, ggplot2, knitr, rmarkdown, testthat (≥ 3.0.0) Published: 2025-02-26 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: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=bidask to link to this page.
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