CoachA low-frequency spread estimator infers the effective spread from daily (or bar) prices: closes, highs and lows, for markets and periods without intraday quotes. Roll’s estimator (One Quant Book 4, chapter 21) uses the autocovariance of price changes; Corwin and Schultz (2012) the high–low ranges; Abdi and Ranaldo (2017) closes and mid-ranges.
Quantitative Finance · Glossário