Wongsaart, Pipat; Gao, Jiti - 2011
duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact … a better parametric ACD model, but also to the specification testing of a number of financial market microstructure … demonstrating its usefulness and practicality using datasets from New York and Australia Stock Exchange. Duration model, hazard …