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The moments of first order Log-ACD models

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

(eng) 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 Contribution à ouvrage collectif (Book Chapter)
Publication date 2002
Language Anglais
Host document Kawasaki, Y. (ed.) ; "Modeling Seasonality and Periodicity, Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling"- p. 213-237
Affiliation Louvain School of Management - Accounting & Finance
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Bibliographic reference Bauwens, Luc ; Giot, Pierre ; Galli, Fausto. The moments of first order Log-ACD models. In: Kawasaki, Y. (ed.), Modeling Seasonality and Periodicity, Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling,  2002, p. 213-237
Permanent URL http://hdl.handle.net/2078/19355