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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1.0.4 by Markus Belfrage, 3 years 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