Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described 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: | 2.0.6 |
Imports: | xts, zoo |
Suggests: | dplyr, crypto2, quantmod, knitr, rmarkdown, testthat (≥ 3.0.0) |
Published: | 2024-08-18 |
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: | GPL-3 |
URL: | https://github.com/eguidotti/bidask |
NeedsCompilation: | no |
Citation: | bidask citation info |
Materials: | README |
In views: | Finance |
CRAN checks: | bidask results |
Reference manual: | bidask.pdf |
Vignettes: |
bidask (source, R code) |
Package source: | bidask_2.0.6.tar.gz |
Windows binaries: | r-devel: bidask_2.0.6.zip, r-release: bidask_2.0.6.zip, r-oldrel: bidask_2.0.6.zip |
macOS binaries: | r-release (arm64): bidask_2.0.6.tgz, r-oldrel (arm64): bidask_2.0.6.tgz, r-release (x86_64): bidask_2.0.6.tgz, r-oldrel (x86_64): bidask_2.0.6.tgz |
Old sources: | bidask archive |
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