Search Results - subject:"Autoregressive Conditional Duration model"

Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature

Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751

Persistent link: https://www.econbiz.de/10003748679

A Smooth Transition Autoregressive Conditional Duration Model

Chiang, Min-Hsien - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1313-1313

This study presents a novel model for analyzing duration data, called the smooth transition autoregressive conditional … duration model of price and duration, which considers past price changes and durations. The model enables the process of the …

Persistent link: https://www.econbiz.de/10005579874

Non-monotonic hazard functions and the autoregressive conditional duration model

GRAMMIG, JOACHIM; MAURER, KAI-OLIVER - In: Econometrics Journal 3 (2000) 1, pp. 16-38

This paper shows that the monotonicity of the conditional hazard in traditional ACD models is both econometrically important and empirically invalid. To counter this problem we introduce a more flexible parametric model which is easy to fit and performs well both in simulation studies and in...

Persistent link: https://www.econbiz.de/10005607074