JEYASREEDHARAN, NAGARATNAM; ALLEN, DAVID E; YANG, JOEY … - In: Annals of Financial Economics (AFE) 09 (2014) 01, pp. 1450004-1
score (GAS) models. The autoregressive conditional directional duration (ACDD) model itself contains three novelties. First … durations. Consequently, the proposed model is called the ACDD model. Third, using the alternative GARCH-like formulation …
