ACD Modelling

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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.