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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.
|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
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- 1 Active
01.01.2022 → 31.12.2024
Project: Externally funded project