Package: bidask 2.1.2
Emanuele Guidotti
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>.
Authors:
bidask_2.1.2.tar.gz
bidask_2.1.2.zip(r-4.5)bidask_2.1.2.zip(r-4.4)bidask_2.1.2.zip(r-4.3)
bidask_2.1.2.tgz(r-4.5-any)bidask_2.1.2.tgz(r-4.4-any)bidask_2.1.2.tgz(r-4.3-any)
bidask_2.1.2.tar.gz(r-4.5-noble)bidask_2.1.2.tar.gz(r-4.4-noble)
bidask_2.1.2.tgz(r-4.4-emscripten)bidask_2.1.2.tgz(r-4.3-emscripten)
bidask.pdf |bidask.html✨
bidask/json (API)
| # Install 'bidask' in R: |
| install.packages('bidask', repos = c('https://eguidotti.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/eguidotti/bidask/issues
Last updated 5 days agofrom:1626438bf8. Checks:8 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Feb 14 2025 |
| R-4.5-win | OK | Feb 14 2025 |
| R-4.5-mac | OK | Feb 14 2025 |
| R-4.5-linux | OK | Feb 14 2025 |
| R-4.4-win | OK | Feb 14 2025 |
| R-4.4-mac | OK | Feb 14 2025 |
| R-4.3-win | OK | Feb 14 2025 |
| R-4.3-mac | OK | Feb 14 2025 |
Exports:edgeedge_expandingedge_rollingsimspread
Dependencies:data.table
