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.

Author
Markus Belfrage
Date of publication
2016-07-16 12:19:03
Maintainer
Markus Belfrage <markus.belfrage@gmail.com>
License
GPL (>= 2)
Version
1.0.4

View on CRAN

Man pages

acdFit
ACD (Autoregressive Conditional Duration) Model Fitting
acdFit-methods
Methods for class acdFit
ACDm-package
ACD Modelling
acf_acd
Autocorrelation function plots for ACD models
BurrDist
The Burr Distribution
computeDurations
Durations computation
data
Time Series Data Sets
dgenf
The generalized F distribution
diurnalAdj
Dirunal adjustment for durations
GeneralizedGammaDist
The generelized Gamma distribution
mixinvgauss
Finite mixture of inverse Gaussian Distribution
mixqwe
Discreet mix of the q-Weibull and the exponential...
mixqww
Discreet mix of the q-Weibull and the ordinary Weibull...
plotDescTrans
Transactions plots
plotHazard
Hazard function plot
plotHistAcd
Mean duration plot
plotLL
Plots the response surface of the log likelihood of a fitted...
plotRollMeanAcd
Plots rolling means of durations
plotScatterAcd
Scatter plot for ACD models
qqplotAcd
Quantile-Quantile plot of the residuals
qWeibullDist
The q-Weibull distribution
resiDensityAcd
Residual Density Histogram
sim_ACD
ACD simulation
standardizeResi
Residual standardization
testRmACD
LM test of no Remaining ACD (Meitz and Terasvirta, 2006)
testSTACD
LM test against Smooth Transition ACD models (Meitz and...
testTVACD
LM test against Time-Varying ACD models (Meitz and...

Files in this package

ACDm
ACDm/inst
ACDm/inst/NEWS.Rd
ACDm/inst/doc
ACDm/inst/doc/tutorial.pdf
ACDm/src
ACDm/src/header.h
ACDm/src/sim_LACD1.c
ACDm/src/Makevars
ACDm/src/sim_ABACD.c
ACDm/src/getLL.c
ACDm/src/sim_AMACD.c
ACDm/src/getScore.c
ACDm/src/getdudtheta.c
ACDm/src/sim_LACD2.c
ACDm/src/computeDurations.c
ACDm/src/sim_ACDSpline.c
ACDm/src/sim_ACDCALL.c
ACDm/NAMESPACE
ACDm/data
ACDm/data/transData.RData
ACDm/data/defaultSplineObj.RData
ACDm/data/durData.RData
ACDm/data/adjDurData.RData
ACDm/R
ACDm/R/testSTACD.R
ACDm/R/plotLL.R
ACDm/R/plotScatterAcd.R
ACDm/R/plotHistAcd.R
ACDm/R/acdFitClassMethods.R
ACDm/R/internals.R
ACDm/R/standardizeResi.R
ACDm/R/qqplotAcd.R
ACDm/R/acdFit.R
ACDm/R/distributions.R
ACDm/R/diurnalAdj.R
ACDm/R/getLL.R
ACDm/R/plotHazard.R
ACDm/R/acf_acd.R
ACDm/R/computeDurations.R
ACDm/R/testTVACD.R
ACDm/R/testRmACD.R
ACDm/R/plotDescTrans.R
ACDm/R/resiDensityAcd.R
ACDm/R/plotRollMeanAcd.R
ACDm/R/sim_ACD.R
ACDm/MD5
ACDm/DESCRIPTION
ACDm/man
ACDm/man/qqplotAcd.Rd
ACDm/man/acdFit-methods.Rd
ACDm/man/plotScatterAcd.Rd
ACDm/man/testRmACD.Rd
ACDm/man/dgenf.Rd
ACDm/man/plotDescTrans.Rd
ACDm/man/sim_ACD.Rd
ACDm/man/mixinvgauss.Rd
ACDm/man/mixqwe.Rd
ACDm/man/standardizeResi.Rd
ACDm/man/plotLL.Rd
ACDm/man/resiDensityAcd.Rd
ACDm/man/acf_acd.Rd
ACDm/man/plotRollMeanAcd.Rd
ACDm/man/data.Rd
ACDm/man/testTVACD.Rd
ACDm/man/qWeibullDist.Rd
ACDm/man/plotHazard.Rd
ACDm/man/testSTACD.Rd
ACDm/man/GeneralizedGammaDist.Rd
ACDm/man/mixqww.Rd
ACDm/man/BurrDist.Rd
ACDm/man/ACDm-package.Rd
ACDm/man/diurnalAdj.Rd
ACDm/man/computeDurations.Rd
ACDm/man/plotHistAcd.Rd
ACDm/man/acdFit.Rd