Chiang, Min-Hsien - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1313-1313
conditional expected duration to switch in a smooth transition way, broadening the autoregressive conditional duration (ACD) model …This study presents a novel model for analyzing duration data, called the smooth transition autoregressive conditional … duration model of price and duration, which considers past price changes and durations. The model enables the process of the …