ACDm (Q43179)
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Tools for Autoregressive Conditional Duration Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | ACDm |
Tools for Autoregressive Conditional Duration Models |
Statements
16 July 2025
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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.
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Identifiers
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