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ACDm (version 1.0.3)

Tools for Autoregressive Conditional Duration Models

Description

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.

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Version

Install

install.packages('ACDm')

Monthly Downloads

527

Version

1.0.3

License

GPL (>= 2)

Maintainer

Markus Belfrage

Last Published

December 3rd, 2015

Functions in ACDm (1.0.3)

GeneralizedGammaDist

The generelized Gamma distribution

Time Series Data Sets

Discreetly mixed Q-Weibull and ordinary Weibull

Discreet mix of the q-Weibull and the ordinary Weibull distributions

Residual Density Histogram

Transactions plots

Methods for class acdFit

Quantile-Quantile plot of the residuals

standardizeResi

Residual standardization

Finite mixture of inverse Gaussian Distributions

Finite mixture of inverse Gaussian Distribution

The generalized F distribution

Autocorrelation function plots for ACD models

LM test against Time-Varying ACD models (Meitz and Terasvirta, 2006)

The q-Weibull distribution

Scatter plot for ACD models

computeDurations

Durations computation

Dirunal adjustment for durations

The Burr Distribution

LM test of no Remaining ACD (Meitz and Terasvirta, 2006)

plotRollMeanAcd

Plots rolling means of durations

Hazard function plot

ACD (Autoregressive Conditional Duration) Model Fitting

Discreetly mixed Q-Weibull and exponential

Discreet mix of the q-Weibull and the exponential distributions

LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)

Mean duration plot