ACDm
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Software:43179
swMATH31468CRANACDmMaRDI QIDQ43179
Tools for Autoregressive Conditional Duration Models
Last update: 20 February 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.0.4.2, 1.0.2, 1.0.3, 1.0.4.1, 1.0.4, 1.0.4.3
Source code repository: https://github.com/cran/ACDm
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.
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