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

Markus Belfrage

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

Ekonomisk statistik, Helsingfors

Forskningsoutput: Bok/rapport › Bok › Yrkesinriktad

Sammanfattning

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.

Originalspråk	Engelska

Utgivningsort	Wien
Förlag	Vienna University of Economics and Business
Antal sidor	30
Status	Publicerad - 2015
MoE-publikationstyp	D5 Lärobok, yrkesinriktad hand- eller instruktionsbok eller ordbok

Nyckelord

112 Statistik
113 Data- och informationsvetenskap

Åtkomst av dokument

http://finzi.psych.upenn.edu/library/ACDm/doc/tutorial.pdfLicens: Ospeciferad

OpenUrl-tillgänglighet

Fulltext

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

Sammanfattning

Nyckelord

Åtkomst av dokument

OpenUrl-tillgänglighet

Fingeravtryck

Projekt

Trade durations in the ultra-high frequency stock market

Citera det här