Efficient estimation of bid-ask spreads from open, high, low, and close prices

David Ardia, Emanuele Guidotti, Tim A. Kroencke

Year of publication:	2024
Authors:	Ardia, David ; Guidotti, Emanuele ; Kroencke, Tim-Alexander
Published in:	Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 1460384-6. - Vol. 161.2024, Art.-No. 103916, p. 1-17
Subject:	Bid-ask spread \| Trading frictions \| Transaction costs \| Geld-Brief-Spanne \| Transaktionskosten \| Volatilität \| Volatility \| Theorie \| Theory \| Börsenkurs \| Share price \| Marktmikrostruktur \| Market microstructure

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