JEYASREEDHARAN, NAGARATNAM; ALLEN, DAVID E; YANG, JOEY … - In: Annals of Financial Economics (AFE) 09 (2014) 01, pp. 1450004-1
This paper features a new autoregressive conditional duration (ACD) model which sits within the theoretical framework provided by the recently developed observation-driven time series models by Creal et al. (2013): the generalized autoregressive score (GAS) models. The autoregressive conditional...