Autoregressive conditional duration modelling of high frequency data
Papers from arXiv.org
This paper explores the duration dynamics modelling under the Autoregressive Conditional Durations (ACD) framework (Engle and Russell 1998). I test different distributions assumptions for the durations. The empirical results suggest unconditional durations approach the Gamma distributions. Moreover, compared with exponential distributions and Weibull distributions, the ACD model with Gamma distributed innovations provide the best fit of SPY durations.
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/2111.02300 Latest version (application/pdf)
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:arx:papers:2111.02300
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().