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bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

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:	2.0.2
Imports:	xts, zoo
Suggests:	dplyr, crypto2, quantmod, knitr, rmarkdown, testthat (≥ 3.0.0)
Published:	2023-12-17
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

Documentation:

Reference manual:	bidask.pdf
Vignettes:	bidask

Downloads:

Package source:	bidask_2.0.2.tar.gz
Windows binaries:	r-devel: bidask_2.0.2.zip, r-release: bidask_2.0.2.zip, r-oldrel: bidask_2.0.2.zip
macOS binaries:	r-release (arm64): bidask_2.0.2.tgz, r-oldrel (arm64): bidask_2.0.2.tgz, r-release (x86_64): bidask_2.0.2.tgz, r-oldrel (x86_64): bidask_2.0.2.tgz
Old sources:	bidask archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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