Bauwens, Luc; Giot, Pierre - In: Empirical Economics 28 (2003) 4, pp. 709-731
This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model...
