A family of autoregressive conditional duration models
Autor(a) principal: | |
---|---|
Data de Publicação: | 2003 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/617 |
Resumo: | This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks. |
id |
FGV_536a90d657a900cac8897b272abd269e |
---|---|
oai_identifier_str |
oai:repositorio.fgv.br:10438/617 |
network_acronym_str |
FGV |
network_name_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
repository_id_str |
3974 |
spelling |
Fernandes, MarceloGrammig, JoachimEscolas::EPGEFGV2008-05-13T15:28:12Z2008-05-13T15:28:12Z2003-10-050104-8910http://hdl.handle.net/10438/617This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;501AsymmetryBox-Cox transformationMixing propertyPrice durationShocks impact curveStationarityEconomiaEconomiaProcesso estocásticoAuto-regressão (Estatística)A family of autoregressive conditional duration modelsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL1392.pdfapplication/pdf1431607https://repositorio.fgv.br/bitstreams/322d3d9b-957e-40cd-9962-b18510792cf7/download1618e7d53221f1d500aa402caa4d72a2MD51TEXT1392.pdf.txt1392.pdf.txtExtracted texttext/plain63622https://repositorio.fgv.br/bitstreams/501855f7-c7e0-47a1-a6b8-fc05b4af60ff/download88837ab5173838ce575cf71e1232eba4MD56THUMBNAIL1392.pdf.jpg1392.pdf.jpgGenerated Thumbnailimage/jpeg3239https://repositorio.fgv.br/bitstreams/b6e89464-3f0d-4cf3-a20a-aecdf436ab40/download06157f9141b96dc2dd3478ef9e67446dMD5710438/6172023-11-09 19:17:55.488open.accessoai:repositorio.fgv.br:10438/617https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T19:17:55Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
A family of autoregressive conditional duration models |
title |
A family of autoregressive conditional duration models |
spellingShingle |
A family of autoregressive conditional duration models Fernandes, Marcelo Asymmetry Box-Cox transformation Mixing property Price duration Shocks impact curve Stationarity Economia Economia Processo estocástico Auto-regressão (Estatística) |
title_short |
A family of autoregressive conditional duration models |
title_full |
A family of autoregressive conditional duration models |
title_fullStr |
A family of autoregressive conditional duration models |
title_full_unstemmed |
A family of autoregressive conditional duration models |
title_sort |
A family of autoregressive conditional duration models |
author |
Fernandes, Marcelo |
author_facet |
Fernandes, Marcelo Grammig, Joachim |
author_role |
author |
author2 |
Grammig, Joachim |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Fernandes, Marcelo Grammig, Joachim |
dc.subject.eng.fl_str_mv |
Asymmetry Box-Cox transformation Mixing property Price duration Shocks impact curve Stationarity |
topic |
Asymmetry Box-Cox transformation Mixing property Price duration Shocks impact curve Stationarity Economia Economia Processo estocástico Auto-regressão (Estatística) |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia Processo estocástico Auto-regressão (Estatística) |
description |
This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks. |
publishDate |
2003 |
dc.date.issued.fl_str_mv |
2003-10-05 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:28:12Z |
dc.date.available.fl_str_mv |
2008-05-13T15:28:12Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/617 |
dc.identifier.issn.none.fl_str_mv |
0104-8910 |
identifier_str_mv |
0104-8910 |
url |
http://hdl.handle.net/10438/617 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;501 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/322d3d9b-957e-40cd-9962-b18510792cf7/download https://repositorio.fgv.br/bitstreams/501855f7-c7e0-47a1-a6b8-fc05b4af60ff/download https://repositorio.fgv.br/bitstreams/b6e89464-3f0d-4cf3-a20a-aecdf436ab40/download |
bitstream.checksum.fl_str_mv |
1618e7d53221f1d500aa402caa4d72a2 88837ab5173838ce575cf71e1232eba4 06157f9141b96dc2dd3478ef9e67446d |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023888416931840 |