Tutorial: Tools for Autoregressive Conditional Duration Models (Version 1.0.2)

Markus Belfrage

Research output: Book/Report › Book › Professional

Abstract

Manual for the package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) mod-els. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.
Original languageEnglish
Place of PublicationWien
PublisherVienna University of Economics and Business
Number of pages30
Publication statusPublished - 2015
MoE publication typeD5 Text book, professional manual or guide or a dictionary

Keywords

  • 112 Statistics and probability
  • 113 Computer and information sciences

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