bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Implements an efficient 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: | 1.0.0 |
| Imports: | xts, zoo |
| Published: | 2022-05-10 |
| Author: | Emanuele Guidotti 
[aut, cre],
David Ardia [ctb],
Tim Kroencke
[ctb] |
| Maintainer: | Emanuele Guidotti <emanuele.guidotti at unine.ch> |
| BugReports: | https://github.com/eguidotti/bidask/issues |
| License: | GPL-3 |
| URL: | https://github.com/eguidotti/bidask |
| NeedsCompilation: | no |
| Citation: | bidask citation info |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | bidask results |
Documentation:
| Reference manual: | bidask.pdf |
Downloads:
| Package source: | bidask_1.0.0.tar.gz |
| Windows binaries: | r-devel: bidask_1.0.0.zip, r-release: bidask_1.0.0.zip, r-oldrel: bidask_1.0.0.zip |
| macOS binaries: | r-release (arm64): bidask_1.0.0.tgz, r-oldrel (arm64): bidask_1.0.0.tgz, r-release (x86_64): bidask_1.0.0.tgz, r-oldrel (x86_64): bidask_1.0.0.tgz |
| Old sources: | bidask archive |
Linking:
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