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ACDm  

Tools for Autoregressive Conditional Duration Models
View on CRAN: Click here


Download and install ACDm package within the R console
Install from CRAN:
install.packages("ACDm")

Install from Github:
library("remotes")
install_github("cran/ACDm")

Install by package version:
library("remotes")
install_version("ACDm", "1.1.0")



Attach the package and use:
library("ACDm")
Maintained by
Markus Belfrage
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-07-16
Latest Update: 2025-07-16
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.
How to cite:
Markus Belfrage (2015). ACDm: Tools for Autoregressive Conditional Duration Models. R package version 1.1.0, https://cran.r-project.org/web/packages/ACDm. Accessed 25 Aug. 2026.
Previous versions and publish date:
1.0.2 (2015-07-16 14:24), 1.0.3 (2015-12-03 13:32), 1.0.4.1 (2022-07-08 11:25), 1.0.4.2 (2022-11-16 13:11), 1.0.4.3 (2024-02-20 06:22), 1.0.4 (2016-07-16 12:19), (2026-07-09 07:56)
Other packages that cited ACDm R package
View ACDm citation profile
Other R packages that ACDm depends, imports, suggests or enhances
Complete documentation for ACDm
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