Bounds for the probability distribution function of the linear ACD process
This paper derives both lower and upper bounds for the probability distribution function of stationary ACD(p,q) processes. For the purpose of illustration, I specialize the results to the main parent distributions in duration analysis. Simulations show that the lower bound is much tighter than the upper bound.
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Volume (Year): 68 (2004)
Issue (Month): 2 (June)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fernandes, Marcelo & Grammig, Joachim, 2002.
"A family of autoregressive conditional duration models,"
Economics Working Papers (Ensaios Economicos da EPGE)
440, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
- Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- FERNANDES, Marcelo & GRAMMIG, Joachim, 2001. "A family of autoregressive conditional duration models," CORE Discussion Papers 2001036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gaëlle Le Fol & Christian Gourieroux, 1999.
"Intra-day market activity,"
- Drost, F.C. & Werker, B.J.M., 2001.
"Semiparametric Duration Models,"
2001-11, Tilburg University, Center for Economic Research.
- repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
- Joachim Grammig & Kai-Oliver Maurer, 2000. "Non-monotonic hazard functions and the autoregressive conditional duration model," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 16-38.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- repec:dau:papers:123456789/5478 is not listed on IDEAS
- Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
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