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 |
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Publication status | Published - 16.07.2015 |
MoE publication type | I2 ICT software |
Keywords
- 113 Computer and information sciences