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The moments of Log-ACD models

Luc Bauwens (), Fausto Galli () and Pierre Giot ()

No 2003011, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We provide existence conditions and analytical expressions of the moments of logarithmic autoregressive conditional duration (Log-ACD) models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD (Engle and Russell 1998) and SCD models. Using duration data for several stocks traded on the New York Stock Exchange, we compare the models in terms of their ability at fitting some stylized facts.

Keywords: duration model; overdispersion; autocorrelation function; high frequency financial data (search for similar items in EconPapers)
JEL-codes: C41 (search for similar items in EconPapers)
Date: 2003-02
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Related works:
Working Paper: The moments of Log-ACD models (2009)
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