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

Markus Belfrage

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

Statistics, Helsinki

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 language	English

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

Keywords

112 Statistics and probability
113 Computer and information sciences

Access to Document

http://finzi.psych.upenn.edu/library/ACDm/doc/tutorial.pdfLicence: Unspecified

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Full text

Trade durations in the ultra-high frequency stock market
Rosenqvist, G. (Project participant) & Belfrage, M. (Project participant)
01.01.2022 → 31.12.2024
Project: Externally funded project

Cite this

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

Abstract

Keywords

Access to Document

OpenUrl availability

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Projects

Trade durations in the ultra-high frequency stock market

Cite this