ACDm-package: ACD Modelling
In ACDm: Tools for Autoregressive Conditional Duration Models
ACDm-package R Documentation
ACD Modelling
Description
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.
Credit
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.
Author(s)
Markus Belfrage
Maintainer: Markus Belfrage <markus.belfrage@gmail.com>
References
Engle R.F, Russell J.R. (1998)
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, 66(5): 1127-1162.
ACDm documentation built on May 29, 2024, 12:04 p.m.
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ACD Modelling
Description
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.
Credit
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.
Author(s)
Markus Belfrage
Maintainer: Markus Belfrage <markus.belfrage@gmail.com>
References
Engle R.F, Russell J.R. (1998) Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, 66(5): 1127-1162.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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