Tools for Autoregressive Conditional Duration Models

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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install.packages("ACDm")

1.0.4 by Markus Belfrage, a year ago


Browse source code at https://github.com/cran/ACDm


Authors: Markus Belfrage


Documentation:   PDF Manual  


GPL (>= 2) license


Imports plyr, dplyr, ggplot2, Rsolnp, zoo, graphics

Suggests optimx, rgl


See at CRAN