An ACD-ECOGARCH(1,1) Model
AbstractIn this paper we introduce an ACD-ECOGARCH(1,1) model. An exponential autoregressive conditional duration model is used to describe the dependence structure in durations of ultra-high-frequency financial data. The innovation process of the ACD model then defines the interarrival times of a compound Poisson process. We use this compound Poisson process as the background driving Lévy process of an exponential continuous time GARCH(1,1) process. The dynamics of the random time transformed log-price process are then described by the latter process. To estimate its parameters we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable. Finally, the model is fitted for illustrative purpose to General Motors tick-by-tick data of the New York Stock Exchange. Copyright The Author 2009. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: firstname.lastname@example.org, Oxford University Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.
Volume (Year): 8 (2010)
Issue (Month): 3 (Summer)
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://jfec.oxfordjournals.org/
More information through EDIRC
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.