Résumé
This paper provides an up-to-date survey of the main theoretical developments in autoregressive conditional duration (ACD) modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research.
Langue d'origine | English |
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Pages (de-à) | 711-751 |
Nombre de pages | 41 |
Journal | Journal of Economic Surveys |
Volume | 22 |
Numéro de publication | 4 |
DOI | |
Statut de publication | Published - 2008 |
ASJC Scopus Subject Areas
- Economics and Econometrics
Empreinte numérique
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Pacurar, M. (2008). Autoregressive conditional duration models in finance: A survey of the theoretical and empirical literature. Journal of Economic Surveys, 22(4), 711-751. https://doi.org/10.1111/j.1467-6419.2007.00547.x