A family of autoregressive conditional duration models
(2001)
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- 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 and a 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.
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Citations
Fernandes, M., & Grammig, J. (2001). A family of autoregressive conditional duration models (CORE Discussion Papers 2001/36). https://hdl.handle.net/2078.5/128264