A nonlinear autoregressive conditional duration model with applications to financial transaction data

By Michael Zhang, Jeffrey R. Russell, Ruey S. Tsay. 2001

356 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/96a0aa8bc5a498e23866f7bd6aee81244a2a42b8

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Citations in the corpus

ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (2008, background): “on ergodicity, mixing, strict stationarity, and existence of moments have previously appeared in Nelson (1990), Bougerol and Picard (1992), Zhang, Russell, and Tsay (2001) , Ling and McAleer (2002), Ling and McAleer (2003), and Lanne and Saikkonen (2004).”
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (2010, unknown): “Similar generalizations of the MEM error structure have been considered, e.g., by Zhang et al. (2001) or Drost and Werker (2004).”
Nonparametric specification tests for conditional duration models (2005, background): “Albeit Engle and Russell (1998) suggest the use of exponential and Weibull distributions, the Burr and the generalized gamma ACD models seem to deliver better results for both price and trade durations (Lunde, 1999; Bauwens et al., 2000; Zhang et al., 2001).”
Evaluating Models of Autoregressive Conditional Duration (2006, methodology): “These include the logarithmic ACD model of Bauwens and Giot (2000), and the threshold ACD model of Zhang, Russell, and Tsay (2001).”
Duration, Volume and Volatility Impact of Trades (2005, unknown): “Zhang et al. (2001) improve upon the original Engle and Russell model by allowing the expected duration to depend nonlinearly on past information variables.”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “Despite the evidence of nonlinearity reported by several studies (see Dufour and Engle, 2000a; Zhang et al., 2001; Taylor, 2004; Fernandes and Grammig, 2006; Fernandes et al., 2006; Meitz and Teräsvirta, 2006) the question of the type of nonlinear ACD model that would be the most appropriate needs…”
Stochastic Conditional Intensity Processes (2006, background): “Nevertheless, a further extension would be to allow for endogenous thresholds that are estimated together with the other model parameters [Tong (1990), Zhang, Russell, and Tsay (2001)].”