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.

AuthorMarkus Belfrage
Date of publication2016-07-16 12:19:03
MaintainerMarkus Belfrage <markus.belfrage@gmail.com>
LicenseGPL (>= 2)
Version1.0.4

View on CRAN

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.