Document Type

Conference Proceeding

Publisher

Modelling and Simulation Society of Australia and New Zealand

Faculty

Business and Public Management

School

Accounting, Finance and Business Economics

RAS ID

2261

Comments

This article was originally published as: 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.

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

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