Autoregressive Conditional Duration Models

Ruey S. Tsay

Chapter 21 in Palgrave Handbook of Econometrics, 2009, pp 1004-1024 from Palgrave Macmillan

Abstract: Abstract This chapter studies the autoregressive conditional duration model. It discusses properties and statistical inference of the model. It also considers some extensions to handle nonlinear durations and interventions. For applications, we apply the model to daily range of the log price of Apple stock and find that adopting the decimal system for the US stock price on January 29, 2001, significantly reduces price volatility.

Keywords: Standardize Residual; Diurnal Pattern; Duration Model; Daily Range; Federal Open Market Committee (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-24440-5_21

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DOI: 10.1057/9780230244405_21

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