ROLL

internal

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>.

Emanuele Guidotti

bidask

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

David Ardia

Tim Kroencke

ROLL function

Roll Estimator — ROLL

Roll Estimator

ROLL: Roll Estimator

Description

Usage

Arguments