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