Home
Scholarly Works
On log-symmetric duration models applied to high...
Journal article

On log-symmetric duration models applied to high frequency financial data

Abstract

This paper deals with a new generalization of autoregressive conditional duration (ACD) models. In special, wepropose a new family of ACD models based on a class of log-symmetric distributions. In this new class, it is possibleto model both median and skewness of the duration time distribution. We discuss maximum likelihood estimation ofthe model parameters. For illustrative purposes, we analyze a high frequency financial data set from the German DAXin 2016.

Authors

Saulo H; Leão J

Journal

Economics Bulletin, Vol. 37, No. 2, pp. 1089–1097

Publication Date

January 1, 2017

Contact the Experts team