Abdi-Ranaldo high-low estimator

Some notes on estimation of costs of equity trading using the method proposed in Abdi and Ranaldo (2017) A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices , Review of Financial Studies, 30(12), pg 4437-4480.

Lecture
Lecture slides

Code examples

C++ code: calculate_abdi_ranaldo_estimator.cc
R code: abdi_renaldo_estimator.R
Doing plots for NHY estimate_nhy.R