The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
Luc Bauwens () and
Annals of Economics and Statistics, 2000, issue 60, 117-149
This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of Engle and Russell . The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the Log-ACD model to price durations relative to the bid-ask quote process of three securities listed on the New York Stock Exchange, and we investigate the influence of some characteristics of the trade process (trading intensity, average volume per trade and average spread) on the bid-ask quote process.
References: Add references at CitEc
Citations: View citations in EconPapers (39) Track citations by RSS feed
Downloads: (external link)
Working Paper: The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2000:i:60:p:117-149
Access Statistics for this article
Annals of Economics and Statistics is currently edited by Laurent Linnemer
More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Laurent Linnemer ().