ACDm: Tools for Autoregressive Conditional Duration Models

Markus Belfrage

ACDm: Tools for Autoregressive Conditional Duration Models

Statistics, Helsinki

Research output: Non-textual form › Software › Scientific

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 language	English
Publication status	Published - 16.07.2015
MoE publication type	I2 ICT software

Keywords

113 Computer and information sciences

Access to Document

https://cran.r-project.org/web/packages/ACDm/Licence: Unspecified

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