Meitz, Mika (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], First version March 2004, revised December 2004
This paper contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are...
