The moments of first order Log-ACD models

Bauwens, Luc;Giot, Pierre;Galli, Fausto
(2002) Modeling Seasonality and Periodicity, Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling — p. 213-237

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Authors
  • Bauwens, Lucorcid-logoUCLouvain
    Author
  • Giot, PierreUnamur
    Author
  • Galli, Fausto
    Author
Abstract
(en) 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.
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  • Louvain School of ManagementAccounting & Finance

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Bauwens, L., Giot, P., & Galli, F. (2002). The moments of first order Log-ACD models. In Kawasaki, Y. (ed.) (ed.), Modeling Seasonality and Periodicity, Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling (p. p. 213-237). https://hdl.handle.net/2078.5/129118