ACDm (1.0.4)

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Tools for Autoregressive Conditional Duration Models.

http://cran.r-project.org/web/packages/ACDm

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.

Maintainer: Markus Belfrage
Author(s): Markus Belfrage

License: GPL (>= 2)

Uses: dplyr, ggplot2, plyr, Rsolnp, zoo, rgl, optimx

Released 9 months ago.


2 previous versions

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