Title

Some statistical models for durations and an application to News Corporation stock prices

Document Type

Conference Proceeding

Publisher

Elsevier

Faculty

Business and Public Management

School

Accounting, Finance and Business Economics

RAS ID

4432

Comments

This article was originally published as: Peiris, S., Allen, D. E., & Yang (Int), W. (2005). Some statistical models for durations and an application to News Corporation stock prices. Proceedings of MSSANZ/IMACS 15th Biennial Conference on Modelling and Simulation. (pp. 549-556). Townsville, Queensland. Elsevier. Original article available here

Abstract

This paper considers a new class of time series models called autoregressive conditional duration (ACD) models. These models have been developed and applied to investigate the price discovery process in the context of financial markets. The various statistical properties of this class of ACD models are examined. A minimum mean square error (MMSE) forecast function is obtained as it plays an important role in many practical applications. The theory and utilisation of these models are illustrated using a potential application based on a sample of high frequency transactions based stock price data for News Corporation.

DOI

10.1016/j.matcom.2005.02.005

 

Link to publisher version (DOI)

10.1016/j.matcom.2005.02.005