Projects per year
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.
|Publication status||Published - 16.07.2015|
|MoE publication type||I2 ICT software|
- 113 Computer and information sciences
FingerprintDive into the research topics of 'ACDm: Tools for Autoregressive Conditional Duration Models'. Together they form a unique fingerprint.
- 1 Active
01.01.2022 → 31.12.2024
Project: Externally funded project