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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.
| Version: | 1.0.4.3 |
| Depends: | R (≥ 2.10.0) |
| Imports: | plyr, dplyr, ggplot2, Rsolnp, zoo, graphics |
| Suggests: | optimx, rgl |
| Published: | 2024-02-20 |
| DOI: | 10.32614/CRAN.package.ACDm |
| Author: | Markus Belfrage |
| Maintainer: | Markus Belfrage <markus.belfrage at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| CRAN checks: | ACDm results |
| Reference manual: | ACDm.pdf |
| Package source: | ACDm_1.0.4.3.tar.gz |
| Windows binaries: | r-devel: ACDm_1.0.4.3.zip, r-release: ACDm_1.0.4.3.zip, r-oldrel: ACDm_1.0.4.3.zip |
| macOS binaries: | r-release (arm64): ACDm_1.0.4.3.tgz, r-oldrel (arm64): ACDm_1.0.4.3.tgz, r-release (x86_64): ACDm_1.0.4.3.tgz, r-oldrel (x86_64): ACDm_1.0.4.3.tgz |
| Old sources: | ACDm archive |
| Reverse imports: | eNchange |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.