Bien-Barkowska, Katarzyna - In: Dynamic Econometric Models 11 (2011), pp. 55-72
In the paper, I generalize the Asymmetric Autoregressive Conditional Duration (AACD) model proposed by Bauwens and Giot (2003) with respect to the generalized gamma and the Burr distribution for an error term. I derive the log likelihood functions for the augmented models and show how to check...