The Birnbaum–Saunders autoregressive conditional duration model

Chad R. Bhatti

Mathematics and Computers in Simulation (MATCOM), 2010, vol. 80, issue 10, 2062-2078

Abstract: In this paper we introduce the Birnbaum–Saunders autoregressive conditional duration (BS-ACD) model as an alternative to the existing ACD models which allow a unimodal hazard function. The BS-ACD model is the first ACD model to integrate the concept of conditional quantile estimation into an ACD model by specifying the time-varying model dynamics in terms of the conditional median duration, instead of the conditional mean duration. In the first half of this paper we illustrate how the BS-ACD model relates to the traditional ACD model, and in the second half we discuss the assessment of goodness-of-fit for ACD models in general. In order to facilitate both of these points, we explicitly illustrate the similarities and differences between the BS-ACD model and the Generalized Gamma ACD (GG-ACD) model by comparing and contrasting their formulation, estimation, and results from fitting both models to samples for six NYSE securities.

Keywords: Conditional quantile estimation; Dependent point process; Duration modeling; Financial transaction data (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:80:y:2010:i:10:p:2062-2078

DOI: 10.1016/j.matcom.2010.01.011

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