Ardia, D., Guidotti, E., Kroencke, T.A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. Journal of Financial Economics, 161, 103916.<doi:10.1016/j.jfineco.2024.103916>

Corresponding BibTeX entry:

  @Article{,
    title = {Efficient estimation of bid–ask spreads from open, high,
      low, and close prices},
    journal = {Journal of Financial Economics},
    year = {2024},
    author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
    volume = {161},
    pages = {103916},
    doi = {10.1016/j.jfineco.2024.103916},
  }