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 + fileLICENSE |
| URL: | https://github.com/eguidotti/bidask |
| NeedsCompilation: | no |
| Citation: | bidask citation info |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | bidask results |
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