Engle and Russell (1998) introduce the autoregressive conditional duration (ACD) model to model the dynamics of financial duration. It is recognized that the ACD model can be specified in ARMA form. We show that as long as the innovations of the ACD model follows a lognormal distribution, the...

This paper studies the joint dynamics of the Canadian economy in conjunction with US economic variables. The methodology employed is that of the structural vector error correction that combines unrestricted short-run dynamics with long- run restrictions derived from growth theory. Common trends,...