ACDm: Tools for Autoregressive Conditional Duration Models (original) (raw)
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.
| Version: | 1.0.4.3 |
|---|---|
| Depends: | R (≥ 2.10.0) |
| Imports: | plyr, dplyr, ggplot2, Rsolnp, zoo, graphics |
| Suggests: | optimx, rgl |
| Published: | 2024-02-20 |
| DOI: | 10.32614/CRAN.package.ACDm |
| Author: | Markus Belfrage |
| Maintainer: | Markus Belfrage <markus.belfrage at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| CRAN checks: | ACDm results |
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