Czado, Claudia; Haug, Stephan - In: Journal of Financial Econometrics 8 (2010) 3, pp. 335-344
In this paper we introduce an ACD-ECOGARCH(1,1) model. An exponential autoregressive conditional duration model is used to describe the dependence structure in durations of ultra-high-frequency financial data. The innovation process of the ACD model then defines the interarrival times of a...