• Medientyp: E-Book
  • Titel: Autoregressive Conditional Duration (Acd) Models in Finance : A Survey of the Theoretical and Empirical Literature
  • Beteiligte: Pacurar, Maria [Verfasser:in]
  • Erschienen: [S.l.]: SSRN, [2006]
  • Umfang: 1 Online-Ressource (60 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.933120
  • Identifikator:
  • Schlagwörter: Autoregressive Conditional Duration model ; tick-by-tick data ; duration clustering ; marked point process ; market microstructure ; asymmetric information ; Value at Risk
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2006 erstellt
  • Beschreibung: This paper provides an up-to-date survey of the main theoretical developments in ACD modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research
  • Zugangsstatus: Freier Zugang