The moments of Log-ACD models
We 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.
|Date of creation:||00 Feb 2003|
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