Autoregressive conditional duration models in finance: A survey of the theoretical and empirical literature

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113 Citations (Scopus)

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'origineEnglish
Pages (de-à)711-751
Nombre de pages41
JournalJournal of Economic Surveys
Volume22
Numéro de publication4
DOI
Statut de publicationPublished - 2008

ASJC Scopus Subject Areas

  • Economics and Econometrics

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