A family of autoregressive conditional duration models

Marcelo Fernandes and Joachim Grammig ()

No 2001036, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter [delta] to the conditional duration process anda possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and [beta]-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power [delta] of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. While the in-sample results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks, we find no specification that entails satisfactory out-of-sample performance.

Keywords: Asymmetry; Box-Cox transformation; mixing property; price duration; shocks impact curve; stationarity (search for similar items in EconPapers)
JEL-codes: C22 C41 (search for similar items in EconPapers)
Date: 2001-08
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: A family of autoregressive conditional duration models (2006)
Working Paper: A family of autoregressive conditional duration models (2003)
Working Paper: A family of autoregressive conditional duration models (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2001036

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