AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE

Maria Pacurar

Journal of Economic Surveys, 2008, vol. 22, issue 4, pages 711-751

Abstract: This paper provides an up-to-date survey of the main theoretical developments in autoregressive conditional duration (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. Copyright © 2008 The Author. Journal compilation © 2008 Blackwell Publishing Ltd.

Date: 2008

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