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Document type:
Zeitschriftenaufsatz 
Author(s):
Czado, C. and Haug, S. 
Title:
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...    »
 
Keywords:
ultra-high-frequency data, ECOGARCH, ACD, QMLE, leverage effect 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Journal of Financial Econometrics 
Year:
2010 
Journal volume:
Journal issue:
Pages contribution:
335-344 
Covered by:
Scopus 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text