r-acdm 1.0.4.3
Channel: guix
Licenses: GPL 2+
Synopsis: Tools for Autoregressive Conditional Duration Models
Description:
ACDm is a package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. It creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.
Total results: 1