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ACDm: Tools for Autoregressive Conditional Duration Models
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.
Getting started
Browse package contents
Package details |
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| Author | Markus Belfrage [aut, cre] |
| Maintainer | Markus Belfrage <markus.belfrage@gmail.com> |
| License | GPL (>= 3) |
| Version | 1.1.0 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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