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.

Documentation

Manual: ACDm.pdf
Vignette: None available.

Maintainer: Markus Belfrage <markus.belfrage at gmail.com>

Author(s): Markus Belfrage

Install package and any missing dependencies by running this line in your R console:

install.packages("ACDm")

Depends R(>= 2.10.0)
Imports plyr, dplyr, ggplot2, Rsolnp, zoo, graphics,
Suggests optimx, rgl,
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Package ACDm
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Version 1.0.4
Published 2016-07-16
License GPL (>= 2)
BugReports
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NeedsCompilation yes
Citation
CRAN checks ACDm check results
Package source ACDm_1.0.4.tar.gz