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

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>.

Version:	2.1.4
Imports:	data.table
Suggests:	xts, zoo, dplyr, crypto2, quantmod, ggplot2, knitr, rmarkdown, testthat (≥ 3.0.0)
Published:	2025-02-26
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:	MIT + file LICENSE
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 (source, R code)

Downloads:

Package source:	bidask_2.1.4.tar.gz
Windows binaries:	r-devel: bidask_2.1.4.zip, r-release: bidask_2.1.4.zip, r-oldrel: bidask_2.1.4.zip
macOS binaries:	r-devel (arm64): bidask_2.1.4.tgz, r-release (arm64): bidask_2.1.4.tgz, r-oldrel (arm64): bidask_2.1.4.tgz, r-devel (x86_64): bidask_2.1.4.tgz, r-release (x86_64): bidask_2.1.4.tgz, r-oldrel (x86_64): bidask_2.1.4.tgz
Old sources:	bidask archive

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