Non-monotonic hazard functions and the autoregressive conditional duration model
Joachim Grammig () and
Econometrics Journal, 2000, vol. 3, issue 1, 16-38
This paper shows that the monotonicity of the conditional hazard in traditional ACD models is both econometrically important and empirically invalid. To counter this problem we introduce a more flexible parametric model which is easy to fit and performs well both in simulation studies and in practice. In an empirical application to NYSE price duration processes, we show that non-monotonic conditional hazard functions are indicated for all stocks. Recently proposed specification tests for financial duration models clearly reject the standard ACD models, whereas the results for the new model are quite favorable.
Keywords: Financial transactions data; Autoregressive conditional duration model; Haz-ard function; Burr distribution; Market microstructure; Price durations; Self-exciting point process. (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (81) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
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:ect:emjrnl:v:3:y:2000:i:1:p:16-38
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().