ACDm: Tools for Autoregressive Conditional Duration Models

Provides tools for autoregressive conditional duration (ACD, Engle and Russell, 1998) models. Functions to create trade, price, or volume durations from transaction data, perform diurnal adjustments, fit various ACD models, and test them.

Version:	1.1.0
Depends:	R (≥ 3.0.2)
Imports:	broom, dplyr, ggplot2, graphics, numDeriv, plyr, Rcpp, Rsolnp, zoo
LinkingTo:	Rcpp (≥ 0.12.10)
Suggests:	optimx, rgl
Published:	2025-07-16
DOI:	10.32614/CRAN.package.ACDm
Author:	Markus Belfrage [aut, cre]
Maintainer:	Markus Belfrage <markus.belfrage at gmail.com>
License:	GPL (≥ 3)
NeedsCompilation:	yes
Materials:	NEWS
CRAN checks:	ACDm results

Documentation:

Reference manual:

ACDm.html , ACDm.pdf

Downloads:

Package source:	ACDm_1.1.0.tar.gz
Windows binaries:	r-devel: ACDm_1.1.0.zip, r-release: ACDm_1.1.0.zip, r-oldrel: ACDm_1.1.0.zip
macOS binaries:	r-release (arm64): ACDm_1.1.0.tgz, r-oldrel (arm64): ACDm_1.1.0.tgz, r-release (x86_64): ACDm_1.1.0.tgz, r-oldrel (x86_64): ACDm_1.1.0.tgz
Old sources:	ACDm archive

Reverse dependencies:

Reverse imports:

eNchange

Linking:

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