A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data

Danúbia R. Cunha, Roberto Vila, Helton Saulo and Rodrigo Fernandez
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Danúbia R. Cunha: Department of Economics, Catholic University of Brasilia, 71966-700 Brasilia, Brazil
Roberto Vila: Department of Statistics, University of Brasilia, 70910-900 Brasilia, Brazil

JRFM, 2020, vol. 13, issue 3, 1-20

Abstract: In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum–Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape parameter λ to the conditional median dynamics and an asymmetric response to shocks; this is denoted by GBS-AACD. We then carry out a Monte Carlo simulation study to evaluate the performance of the GBS-ACD models. Finally, an illustration of the proposed models is made by using New York stock exchange (NYSE) transaction data.

Keywords: generalized Birnbaum–Saunders distributions; ACD models; Box-Cox transformation; high-frequency financial data; goodness-of-fit (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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