bidask (Q109054)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: bidask |
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | bidask |
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices |
Statements
17 December 2023
0 references
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>.
0 references
