SIN, CHOR-YIU - In: Annals of Financial Economics (AFE) 09 (2014) 02, pp. 1440009-1
Since the seminal work by Engle and Russell, (1998), numerous studies have applied their standard/linear ACD(m,q) model (autoregressive conditional duration model of orders m and q) to fit the irregular spaced transaction data. Recently, Araichi et al. (2013) also applied the ACD model to claims...