Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature

203 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, unknown): “Thus, (33) has a unique positive solution that we denote by �. We obtain the aggregate monitoring levels in equilibrium by inserting this root into Equations (30) and ( 31 ).”
The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016, methodology): “Some models for this system have been proposed in the Autoregressive Conditional Duration framework (Engle and Russell 1998, Bauwens et al. 2004, Pacurar 2008).”