Allen, David; Lazarov, Zdravetz; McAleer, Michael; … - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2535-2555
In this paper a number of alternative autoregressive conditional duration (ACD) models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating density and interval forecasts,...