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On a quantile autoregressive conditional duration model applied to high-frequency financial data

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  • Helton Saulo
  • Narayanaswamy Balakrishnan
  • Roberto Vila

Abstract

Autoregressive conditional duration (ACD) models are primarily used to deal with data arising from times between two successive events. These models are usually specified in terms of a time-varying conditional mean or median duration. In this paper, we relax this assumption and consider a conditional quantile approach to facilitate the modeling of different percentiles. The proposed ACD quantile model is based on a skewed version of Birnbaum-Saunders distribution, which provides better fitting of the tails than the traditional Birnbaum-Saunders distribution, in addition to advancing the implementation of an expectation conditional maximization (ECM) algorithm. A Monte Carlo simulation study is performed to assess the behavior of the model as well as the parameter estimation method and to evaluate a form of residual. A real financial transaction data set is finally analyzed to illustrate the proposed approach.

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  • Helton Saulo & Narayanaswamy Balakrishnan & Roberto Vila, 2021. "On a quantile autoregressive conditional duration model applied to high-frequency financial data," Papers 2109.03844, arXiv.org.
    • Handle: RePEc:arx:papers:2109.03844
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    References listed on IDEAS

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    8. Luis Sánchez & Víctor Leiva & Manuel Galea & Helton Saulo, 2021. "Birnbaum‐Saunders quantile regression and its diagnostics with application to economic data," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 37(1), pages 53-73, January.
    9. Helton Saulo & Jeremias Leão & Víctor Leiva & Robert G. Aykroyd, 2019. "Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data," Statistical Papers, Springer, vol. 60(5), pages 1605-1629, October.
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