Modelling and Simulation Society of Australia and New Zealand
Faculty of Business and Public Management
School of Accounting, Finance and Business Economics
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.