the linear ACD model, Box-Cox ACD model, augmented Box-Cox ACD model and augmented (Hentschel) ACD model. The analysis …

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. A number of new misspecification tests for …

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 …

/PLN currency pair. Our contribution to the existing literature is twofold. We generalize the Asymmetric ACD model (AACD) of Bauwens … according to the level of order aggressiveness. We show how to simulate from the proposed Multistate Asymmetric ACD model, which …

empirical application of the Asymmetric ACD model for the durations between submissions of market or best limit orders on the …

duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact … a better parametric ACD model, but also to the specification testing of a number of financial market microstructure …