A Family of Autoregressive Conditional Duration Models.

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter to the conditional duration process and a possibly asymmetric shocks impact curve.

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Year of publication:	2001
Authors:	Fernandes, M. ; Grammig, J.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	PRICES \| MODELS \| GEOMETRY

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	C22 - Time-Series Models ; C41 - Duration Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005779466