ACDm-package: ACD Modelling

Description Credit Author(s) References


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.


The author would like to thank the department of statistics at Hanken School of Economics, as the bulk of this work was done there while working as a research assistant.


Markus Belfrage

Maintainer: Markus Belfrage <>


Engle R.F, Russell J.R. (1998) Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, 66(5): 1127-1162.

Search within the ACDm package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at

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

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