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Title:

An ACD-ECOGARCH(1,1) model

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
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:
8
Journal issue:
3
Pages contribution:
335-344
Covered by:
Scopus
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1093/jjfinec/nbp023
WWW:
Journal of Financial Econometrics
Status:
Erstveröffentlichung
Semester:
SS 02
Format:
Text
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