IDEAS home Printed from https://ideas.repec.org/p/cor/louvrp/1670.html
   My bibliography  Save this paper

Asymmetric ACD models: Introducing price information in ACD models

Author

Listed:
  • BAUWENS, Luc
  • GIOT, Pierre

Abstract

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model can differ from what they are if the price has decreased. The model is applied to the bid-ask quotes of two stocks traded on the NYSE and the evidence in favour of asymmetry is strong. Information effects (Easley and O'Hara 1992) are also empirically relevant. As the model is a transition model for the price process, it delivers `market forecasts' of where prices are heading. A trading strategy based on the model is implemented using tick-by-tick data. Copyright Springer-Verlag 2003
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • BAUWENS, Luc & GIOT, Pierre, 2003. "Asymmetric ACD models: Introducing price information in ACD models," LIDAM Reprints CORE 1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvrp:1670
    DOI: 10.1007/s00181-003-0155-7
    Note: In : Empirical Economics, 28, 709-731, 2003
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1007/s00181-003-0155-7
    Download Restriction: no

    File URL: https://libkey.io/10.1007/s00181-003-0155-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cor:louvrp:1670. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alain GILLIS (email available below). General contact details of provider: https://edirc.repec.org/data/coreebe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.