最近在学习acd(Autoregressive conditional duration model)模型，找了几篇有Gauss code 的Paper, 希望对学ACD的同学又帮助，也顺便赚点论坛币。里面又IBM BOEING DISNEY COCA-COLA EXXON 的超高频数据，想研究超高频数据的，可以直接引用，很难得。

1。Non-parametric Specification Tests for Conditional Duration Models
2。A Comparison of Financial Duration Models via Density Forecasts
3。Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes
4。Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model

Paper 自己去下载，如若下载不到，请留下email,我有空发给你们。