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ACDm - MaRDI portal

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ACDm (Q43179)

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(Redirected from Item:Q89091)





Tools for Autoregressive Conditional Duration Models
Language Label Description Also known as
English
ACDm
Tools for Autoregressive Conditional Duration Models

    Statements

    instance of
    R package
    0 references
    software version identifier
    1.0.4.2
    publication date
    16 November 2022
    0 references
    1.0.2
    publication date
    16 July 2015
    0 references
    1.0.3
    publication date
    3 December 2015
    0 references
    1.0.4.1
    publication date
    8 July 2022
    0 references
    1.0.4
    publication date
    16 July 2016
    0 references
    1.0.4.3
    publication date
    20 February 2024
    0 references
    programmed in
    R
    0 references
    last update
    20 February 2024
    0 references
    author
    Markus Belfrage
    0 references
    imports
    plyr
    0 references
    dplyr
    0 references
    ggplot2
    0 references
    Rsolnp
    0 references
    zoo
    0 references
    graphics
    0 references
    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.
    0 references

    Identifiers

    swMATH work ID
    31468
    0 references
    CRAN project
    ACDm
    0 references
     
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