plotRollMeanAcd

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.

Markus Belfrage

ACDm

Tools for Autoregressive Conditional Duration Models

plotRollMeanAcd function

<dl> <dt>durations</dt>
<dd>a data.frame containing the column 'time' and 'durations'.</dd> <dt>window</dt>
<dd>the length of the rolling window.</dd></dl>

Arguments

Plots rolling means of durations — plotRollMeanAcd

<dl>

 <dt>durations</dt>
<dd>a data.frame containing the column 'time' and 'durations'.</dd>

 <dt>window</dt>
<dd>the length of the rolling window.</dd>

</dl>

plotRollMeanAcd: Plots rolling means of durations

Description

Usage

Arguments

Examples