ACDm: Tools for Autoregressive Conditional Duration Models
Version 1.0.4

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.

Package details

AuthorMarkus Belfrage
Date of publication2016-07-16 12:19:03
MaintainerMarkus Belfrage <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ACDm documentation built on May 29, 2017, 11:06 p.m.