Modeling high frequency financial data: R code from my honors thesis at UConn (B.S. Mathematics-Statistics, Economics, 2014). Link to thesis: http://opencommons.uconn.edu/cgi/viewcontent.cgi?article=1395&context=srhonors_theses
This repository contains code required to run simulations for estimating parameters from the Log ACD(1,1) and Log ACD(2,1) models developed for financial durations data.