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.

Package details

AuthorMarkus Belfrage
MaintainerMarkus Belfrage <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ACDm documentation built on May 29, 2024, 12:04 p.m.