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Zbl 1055.62571
Engle, Robert F.; Russell, Jeffrey R.
Autoregressive conditional duration: a new model for irregularly spaced transaction data. (English)
[J] Econometrica 66, No. 5, 1127-1162 (1998). ISSN 0012-9682; ISSN 1468-0262/e

Summary: This paper proposes a new statistical model for the analysis of data which arrives at irregular intervals. The model treats the time between events as a stochastic process and proposes a new class of point processes with dependent arrival rates. The conditional intensity is developed and compared with other self-exciting processes. The model is applied to the arrival times of financial transactions and therefore is a model of transaction volume, and also to the arrival of other events such as price changes. Models for the volatility of prices are estimated, and examined from a market microstructure point of view.

MSC 2000:: *62P20 Appl. of statistics to economics
91B62 Dynamic economic models etc.
62M10 Time series, etc. (statistics)

Cited in: Zbl 1162.91520 Zbl 1161.62073 Zbl 1162.91525 Zbl 1064.62107 Zbl 1108.62336 Zbl 1056.91535

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