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 language | English |
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| Place of Publication | Wien |
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| 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 |
Keywords
- 112 Statistics and probability
- 113 Computer and information sciences
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Cite this
Belfrage, M. (2015). Tutorial: Tools for Autoregressive Conditional Duration Models (Version 1.0.2). Wien: Vienna University of Economics and Business.