Manual for the 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.
|Place of Publication||Wien|
|Publisher||Vienna University of Economics and Business|
|Number of pages||30|
|Publication status||Published - 2015|
|MoE publication type||D5 Text book, professional manual or guide or a dictionary|
- 112 Statistics and probability
- 113 Computer and information sciences