bidask (Q109054)
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Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
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| English | bidask |
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices |
Statements
13 October 2025
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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>.
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