Autoregressive Conditional Duration Models in Finance

Pacurar, M. (2008). Autoregressive Conditional Duration Models in Finance: A Survey. Journal of Economic Surveys, 711-751.

Type

Journal article

Intellectual base

Primary research

Year

2008

DOI

10.1111/j.1467-6419.2007.00547.x

Link

https://doi.org/10.1111/j.1467-6419.2007.00547.x

Cited by

1 citation across 1 artifact.

Domain-specific

• Autoregressive Conditional Duration
  • Bauwens and Giot develop log-ACD and market-microstructure variants that relax positivity restrictions on linear predictors. Surveys catalog nonlinear, semiparametric, multivariate, and marked extensions.

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