This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process in the beginning and at the end of the each duration. If...

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York...

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We present two different framworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of the mid-point of the bid-ask quotes by estimating GARCH...

This paper introduces the logarithmic autoregressive conditional duration model (log-ACD model). The logarithmic version allows for more flexibilitythan the ACD model of Engel and Russel (1995), when additional variables are included in the model. We apply the log-ACD model to bid/ask prices...

In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed...

Using density forecasts, we compare the predictive performance of dur ation models that have been developed fo modelling intra-day data on stock markets. Our model portfolio encompasses the auto regressive conditional duration (ACD) model, its logarithmic version (Log-ACD), the threshold...

This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...