The ACD Model: Predictability of the Time Between Concecutive Trades

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A Model for the Federal Funds Rate Target (2002, unknown): “DeÞne xt to be a random variable that takes on the value of unity 1 Dufour and Engle (1999) have recently suggested some nonlinear generalizations of the ACD for which it would be interesting to explore the ACH analogs.”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “Dufour and Engle (2000a) argue that the Log-ACD model is likely to produce an over-adjustment of the conditional mean after very short durations because of the asymptotic convergence to minus infinity of log (0). Instead, they propose to model the news impact function with a piecewise linear specifi”
Evaluating Models of Autoregressive Conditional Duration (2006, methodology): “This practice differs from the approach of Engle and Russell (1998) but is applied by Bauwens and Giot (2000).”
A family of autoregressive conditional duration models (2006, methodology): “The asymmetric logarithmic ACD model with b = 1 introduced by Dufour and Engle (2000) palpably increases the log-likelihood value (-4,920.5 versus -4,950.5), suggesting that asymmetry may play a role (see column EXACD).”