ACDm (Q43179)
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Tools for Autoregressive Conditional Duration Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ACDm |
Tools for Autoregressive Conditional Duration Models |
Statements
20 February 2024
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expanded from: GPL (≥ 2) (English)
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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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