Ardia D, Guidotti E, Kroencke TA (2021). “Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices.” Available at SSRN, https://www.ssrn.com/abstract=3892335.

Corresponding BibTeX entry:

  @Unpublished{,
    title = {Efficient Estimation of Bid-Ask Spreads from Open, High,
      Low, and Close Prices},
    year = {2021},
    author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
    note = {Available at SSRN},
    url = {https://www.ssrn.com/abstract=3892335},
  }