BAUWENS, Luc; GIOT, Pierre - In: Annales d'Economie et de Statistique (2000) 60, pp. 117-149
This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of Engle and Russell [1998]. The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the...