Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market

DOI10.1016/j.matcom.2008.12.014zbMath1162.91520OpenAlexW1992761800MaRDI QIDQ1025337

Zdravetz Lazarov, Michael McAleer, M. Shelton Peiris, David E. Allen

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.014

zbMATH Keywords

comparisonACD modelsforecastsAustralia

Mathematics Subject Classification ID

Related Items (6)

The role of volume in order book dynamics: a multivariate Hawkes process analysis ⋮ Modelling and forecasting wind speed intensity for weather risk management ⋮ Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Forecasting trade durations via ACD models with mixture distributions ⋮ The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics ⋮ Normally distributed high-frequency returns: a subordination approach

Cites Work

• Nonparametric specification tests for conditional duration models
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
• Modeling the interdependence of volatility and inter-transaction duration processes.
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Stochastic volatility duration models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• The Volatility of Realized Volatility
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• The Econometrics of Ultra-high-frequency Data
• Remarks on a Multivariate Transformation
• A TEST FOR MARKOFF CHAINS
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

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