Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2021) <https://www.ssrn.com/abstract=3892335>. 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: | 2.0.4 |
Imports: | xts, zoo |
Suggests: | dplyr, crypto2, quantmod, testthat (≥ 3.0.0) |
Published: | 2024-06-15 |
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 |
Package source: | bidask_2.0.4.tar.gz |
Windows binaries: | r-devel: bidask_2.0.4.zip, r-release: bidask_2.0.4.zip, r-oldrel: bidask_2.0.4.zip |
macOS binaries: | r-release (arm64): bidask_2.0.4.tgz, r-oldrel (arm64): bidask_2.0.4.tgz, r-release (x86_64): bidask_2.0.4.tgz, r-oldrel (x86_64): bidask_2.0.4.tgz |
Old sources: | bidask archive |
Please use the canonical form https://CRAN.R-project.org/package=bidask to link to this page.