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.


Reference manual

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1.0.4 by Markus Belfrage, 5 years ago

Browse source code at

Authors: Markus Belfrage

Documentation:   PDF Manual  

GPL (>= 2) license

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

Suggests optimx, rgl

Imported by eNchange.

See at CRAN