Search Results - subject:"Autoregressive conditional duration (ACD) model"

Nonparametric kernel testing in semiparametric autoregressive conditional duration model

Wongsaart, Pipat; Gao, Jiti - 2011

duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact …A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional …

Persistent link: https://www.econbiz.de/10009406330

QMLE OF A STANDARD EXPONENTIAL ACD MODEL: ASYMPTOTIC DISTRIBUTION AND RESIDUAL CORRELATION

SIN, CHOR-YIU - In: Annals of Financial Economics (AFE) 09 (2014) 02, pp. 1440009-1

Since the seminal work by Engle and Russell, (1998), numerous studies have applied their standard/linear ACD(m,q) model (autoregressive conditional duration model of orders m and q) to fit the irregular spaced transaction data. Recently, Araichi et al. (2013) also applied the ACD model to claims...

Persistent link: https://www.econbiz.de/10011094626

QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation

Sin, Chor-yiu - In: Annals of financial economics 9 (2014) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10010489087

On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures

Chiang; Min-Hsien; Fan - Society for Computational Economics - SCE - 2004

This paper investigates the dynamics of trade duration and the relationship between price volatility and trade durations for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that the conditional expected trade durations are significantly related...

Persistent link: https://www.econbiz.de/10005345355