ACDm

Tools for Autoregressive Conditional Duration Models

CRAN Package

Provides tools for autoregressive conditional duration (ACD, Engle and Russell, 1998) models. Functions to create trade, price, or volume durations from transaction data, perform diurnal adjustments, fit various ACD models, and test them.

  • Version1.1.0
  • R versionR (≥ 3.0.2)
  • LicenseGPL (≥ 3)
  • Needs compilation?Yes
  • Last release07/16/2025

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