bidask

Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2024) doi:10.1016/j.jfineco.2024.103916. 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.

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