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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C. and Haug, S. 
Titel:
An ACD-ECOGARCH(1,1) model 
Abstract:
In this paper we introduce an ACD-ECOGARCH(1, 1) model. An xponential autoregressive conditional duration model is used to describe the dependence structure in durations of ultra-highfrequency financial data. The innovation process of the ACD model then defines the interarrival times of a compound Poisson process. We use this compound Poisson process as the background driving Levy process of an exponential continuous time GARCH(1, 1) process. The dynamics of the random time transformed log-pri...    »
 
Stichworte:
ultra-high-frequency data, ECOGARCH, ACD, QMLE, leverage effect 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Journal of Financial Econometrics 
Jahr:
2010 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
335-344 
Nachgewiesen in:
Scopus 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text