ACDm

MaRDI QIDQ43179swMATHCRANFDO

Authors Markus Belfrage

Last update 16 July 2025

Copyright license GNU General Public License

Software version identifier 1.0.4.2, 1.0.2, 1.0.3, 1.0.4.1, 1.0.4, 1.0.4.3, PACKAGES.rds, 1.1.0

Official website https://cran.r-project.org/web/packages/ACDm/index.html

Source code repository https://github.com/cran/ACDm

Description

Provides tools for autoregressive conditional duration (ACD, Engle and Russell, 1998) models. Functions to create trade, price, or volume durations from transaction data, perform diurnal adjustments, fit various ACD models, and test them.

Cited in

(6)

• Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
• acp
• highfrequency
• MSGARCH
• hawkes
• eNchange

This page was built for software: ACDm