Peiris, Shelton; Allen, David; Yang, Wenling - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 5, pp. 545-552
This paper considers a new class of time series models called autoregressive conditional duration (ACD) models. These models have been developed and applied to investigate the price discovery process in the context of financial markets. The various statistical properties of this class of ACD...
