ACDm: Tools for Autoregressive Conditional Duration Models

Research output: Non-textual formSoftwareScientific

Abstract

Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.
Original languageEnglish
Publication statusPublished - 16.07.2015
MoE publication typeI2 ICT software

Keywords

  • 113 Computer and information sciences

Fingerprint Dive into the research topics of 'ACDm: Tools for Autoregressive Conditional Duration Models'. Together they form a unique fingerprint.

  • Cite this