The moments of Log-ACD models
AbstractWe provide existence conditions and analytical expressions of the moments of logarithmic autoregressive conditional duration (Log-ACD) models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD (Engle and Russell 1998) and SCD models. Using duration data for several stocks traded on the New York Stock Exchange, we compare the models in terms of their ability at fitting some stylized facts.
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Bibliographic InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2003011.
Date of creation: 00 Feb 2003
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duration model; overdispersion; autocorrelation function; high frequency ﬁnancial data;
Other versions of this item:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
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