Meitz, Mika; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2004
autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model … presented.
Second, two new classes of ACD models, the smooth transition ACD model and the time-
varying ACD model, are … the standardized durations. Section 4 presents the smooth transition ACD model and
deduces a test of linearity, and …