ACDm
Tools for Autoregressive Conditional Duration Models
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.
- Version1.0.4.3
- R version≥ 2.10.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release02/20/2024
Documentation
Team
Markus Belfrage
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- Depends1 package
- Imports6 packages
- Suggests2 packages
- Reverse Imports1 package