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Abstract: this paper given the past information G t i-1 = #(S t j , d t j ; j 1) and current duration d t i = t i t i-1 . Since the duration process is a stochastic process itself one also needs a model for this regularly spaced (measured in tick time) time series. A popular model for the durations given the past information, called Autoregressive Conditional Duration (ACD) model, has been proposed by Engle and Russell (1997). There are a number of modifications of the ACD model, which are... (Update)
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BibTeX entry: (Update)
@misc{ haug-mixed,
author = "Stephan Haug and Claudia Czado",
title = "Mixed effect model for absolute log returns of ultra high frequency data",
url = "citeseer.ist.psu.edu/haug06mixed.html" }
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