Meitz, Mika; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2004
autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model … and the time-varying ACD model, are introduced and their properties discussed. <p> <p> A number of new misspecification … unified framework for testing and evaluating
the adequacy of an estimated autoregressive conditional duration (ACD) model is …