The class of ACD models was introduced by Engle and Russell (1998). It allows one to model intraday financial durations between market events, such as volume, price changes and so on. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.

The distributional assumptions for ACD models

DE LUCA, GIOVANNI
2003

Abstract

The class of ACD models was introduced by Engle and Russell (1998). It allows one to model intraday financial durations between market events, such as volume, price changes and so on. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/23516
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