Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - Escola de Economia de São Paulo (EESP), Fundação … - 2013
In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymme- tries in financial durations. In particular, our functional coefficient autoregressive con- ditional duration (FC-ACD) model relies on a...