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An ACD-ECOGARCH(1,1) Mode

C Czado, S Haug - Journal of Financial Econometrics, 2009 - Oxford Univ Press

Abstract:

In this paper we introduce an ACD-ECOGARCH(1,1) model. An exponential autoregressive conditional duration model is used to describe the dependence structure in durations of ultra-high-frequency 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 Lévy process of an exponential continuous time GARCH(1,1) process. The dynamics of the random time transformed log-price process are then described by the latter process. To estimate its parameters we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable. Finally, the model is fitted for illustrative purpose to General Motors tick-by-tick data of the New York Stock Exchange.

KEYWORDS: ACD, ECOGARCH, leverage effect, QMLE, ultra-high-frequency data

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An ACD-ECOGARCH(1,1) Mode

milandefeng 发表于 2010-8-25 06:44
An ACD-ECOGARCH(1,1) Mode

不知您能否下到这篇文章
“Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading”
非常感谢

gxylg122 发表于 2013-10-19 14:55
不知您能否下到这篇文章
“Using High-Frequency Transaction Data to Estimate the Probability of Inf ...

已找到，虽然有点迟了，希望对你还有用~~

Mengguren15 发表于 2015-9-3 15:04
已找到，虽然有点迟了，希望对你还有用~~