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.
|Date of creation:||01 Jul 2003|
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- 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, 2001. "A family of autoregressive conditional duration models," CORE Discussion Papers 2001036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 501, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 440, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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- Gaëlle Le Fol & Christian Gourieroux, 1999. "Intra-day market activity," Post-Print halshs-00536268, HAL.
- Drost, Feike C & Werker, Bas J M, 2004. "Semiparametric Duration Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 40-50, January.
- Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 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.
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- 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. Full references (including those not matched with items on IDEAS)
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