ACDm: Tools for Autoregressive Conditional Duration Models

Markus Belfrage

ACDm: Tools for Autoregressive Conditional Duration Models

Ekonomisk statistik, Helsingfors

Forskningsoutput: Icke-textbaserad output › Programvara › Vetenskaplig

Sammanfattning

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.

Originalspråk	Engelska
Status	Publicerad - 16.07.2015
MoE-publikationstyp	I2 ICT-programvara

Nyckelord

113 Data- och informationsvetenskap

Åtkomst av dokument

https://cran.r-project.org/web/packages/ACDm/Licens: Ospeciferad

OpenUrl-tillgänglighet

Fulltext

Andra filer och länkar

https://cran.r-project.org/web/packages/ACDm/

Trade durations in the ultra-high frequency stock market
Rosenqvist, G. (Projektdeltagare) & Belfrage, M. (Projektdeltagare)
01.01.2022 → 31.12.2024
Projekt: Externt finansierat projekt

Citera det här

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title = "ACDm: Tools for Autoregressive Conditional Duration Models",

abstract = "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.",

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author = "Markus Belfrage",

year = "2015",

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language = "English",

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T1 - ACDm: Tools for Autoregressive Conditional Duration Models

AU - Belfrage, Markus

PY - 2015/7/16

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N2 - 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.

AB - 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.

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UR - https://cran.r-project.org/web/packages/ACDm/

M3 - Software

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ACDm: Tools for Autoregressive Conditional Duration Models

Sammanfattning

Nyckelord

Åtkomst av dokument

OpenUrl-tillgänglighet

Andra filer och länkar

Fingeravtryck

Projekt

Trade durations in the ultra-high frequency stock market

Citera det här