The Moments of Log-Acd Models

CORE Discussion Paper

26 Pages Posted: 25 Feb 2003

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

Fausto Galli

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)

Pierre Giot

Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Date Written: January 2003

Abstract

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.

Keywords: Duration model, overdispersion, autocorrelation function, high frequency financial data

JEL Classification: C41

Suggested Citation

Bauwens, Luc and Galli, Fausto and Giot, Pierre, The Moments of Log-Acd Models (January 2003). CORE Discussion Paper, Available at SSRN: https://ssrn.com/abstract=375180 or http://dx.doi.org/10.2139/ssrn.375180

Luc Bauwens

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Fausto Galli

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) ( email )

34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium

Pierre Giot (Contact Author)

Facultés Universitaires Notre-Dame de la Paix (FUNDP) ( email )

Rempart de la Vierge 8
B-5000 Namur
Belgium

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