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Titel:

An ACD-ECOGARCH(1,1) model

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Czado, C. and Haug, S.
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-pric...     »
Stichworte:
ultra-high-frequency data, ECOGARCH, ACD, QMLE, leverage effect
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Journal of Financial Econometrics
Jahr:
2010
Band / Volume:
8
Heft / Issue:
3
Seitenangaben Beitrag:
335-344
Nachgewiesen in:
Scopus
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1093/jjfinec/nbp023
WWW:
Journal of Financial Econometrics
Status:
Erstveröffentlichung
Semester:
SS 02
Format:
Text
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