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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.
Getting started
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Package details |
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| Author | Markus Belfrage |
| Maintainer | Markus Belfrage <markus.belfrage@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.0.4.2 |
| Package repository | View on CRAN |
| Installation |
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