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

Functions

acdFit Man page
acdFit-methods Man page
ACDm Man page
ACDm-package Man page
acf_acd Man page
adjDurData Man page
BurrDist Man page
burrExpectation Man page
coef.acdFit Man page
computeDurations Man page
DataFiles Man page
dburr Man page
defaultSplineObj Man page
dgenf Man page
dgengamma Man page
Discreetly mixed Q-Weibull and exponential Man page
Discreetly mixed Q-Weibull and ordinary Weibull Man page
diurnalAdj Man page
dmixinvgauss Man page
dmixqwe Man page
dmixqww Man page
dqweibull Man page
durData Man page
Finite mixture of inverse Gaussian Distributions Man page
GeneralizedGammaDist Man page
genfHazard Man page
gengammaHazard Man page
mixinvgaussHazard Man page
mixqweHazard Man page
mixqwwHazard Man page
pburr Man page
pgenf Man page
pgengamma Man page
plotDescTrans Man page
plotHazard Man page
plotHistAcd Man page
plotLL Man page
plotRollMeanAcd Man page
plotScatterAcd Man page
pmixinvgauss Man page
pmixqwe Man page
pmixqww Man page
pqweibull Man page
predict.acdFit Man page
print.acdFit Man page
qburr Man page
qgengamma Man page
qqplotAcd Man page
qqweibull Man page
qWeibullDist Man page
qweibullExpectation Man page
qweibullHazard Man page
rburr Man page
resiDensityAcd Man page
residuals.acdFit Man page
rgengamma Man page
rqweibull Man page
sim_ACD Man page
standardizeResi Man page
testRmACD Man page
testSTACD Man page
testTVACD Man page
transData Man page

Files

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.

Please suggest features or report bugs with the GitHub issue tracker.

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