ACDm

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Tools for Autoregressive Conditional Duration Models

Markus Belfrage

Last update: 20 February 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0.4.2, 1.0.2, 1.0.3, 1.0.4.1, 1.0.4, 1.0.4.3

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

Description

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.

Cited In (2)

• Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
• eNchange

This page was built for software: ACDm