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The moments of Log-ACD models

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Bauwens, Luc [UCL] Galli, Fausto [UCL] Giot, Pierre [UCL]

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.

Document type Document de travail (Working Paper)
Access type Accès libre
Publication date 2003
Collection ECON Discussion Papers - 2003/10, CORE Discussion Papers - 2003/11
Affiliation UCL - CORE - Center for Operations Research and Econometrics
Keywords Duration model ; Overdispersion ; Autocorrelation function ; High frequency financial data
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Bibliographic reference Bauwens, Luc ; Galli, Fausto ; Giot, Pierre. The moments of Log-ACD models. ECON Discussion Papers ; 2003/10 (2003)
Permanent URL http://hdl.handle.net/2078.1/4893