Document Type
Conference Proceeding
Publisher
Modelling and Simulation Society of Australia and New Zealand
Faculty
Faculty of Business and Public Management
School
School of Accounting, Finance and Business Economics
RAS ID
2261
Abstract
This paper considers a new class of time series models called Autoregressive Conditional Duration (ACD) models. Various statistical properties of this class of ACD models are given. A minimum mean square error (mmse) forecast function is obtained as it plays an important role in many practical applications. The theory is illustrated using a potential application based on financial data.
Access Rights
free_to_read
Comments
This is an Author's Accepted Manuscript of: Peiris, S., Allen, D. E., & Yang, W. (2003). Some statistical models for durations and their applications in finance. Proceedings of Modelling and Simulation Society of Australia and New Zealand International Congress on Modelling and Simulation. (pp. 1211-1214). Townsville, Qld. Modelling and Simulation Society of Australia and New Zealand.