GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

DOI10.2202/1558-3708.1035MaRDI QIDQ3368216zbMATH OpenOpenAlexFDO

Authors Eric Ghysels, J. Jasiak

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1035

zbMATH Keywords

duration modelssubordinated processestick-by-tick datavolatility

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(20)

• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
• MIDAS Regressions: Further Results and New Directions
• Modelling the impact of open volume on inter-trade autoregressive durations
• Modeling the interdependence of volatility and inter-transaction duration processes.
• GARCH and irregularly spaced data
• Evaluating financial time series models for irregularly spaced data: a spectral density approach
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• The dynamic mixed hitting-time model for multiple transaction prices and times
• Nonparametric specification tests for conditional duration models
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Analysing liquidity and absorption limits of electronic markets with volume durations
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• GARCH model selection criteria
• On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
• Time-deformation modeling of stock returns directed by duration processes
• Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
• An intraday GARCH model for discrete price changes and irregularly spaced observations
• Causality effects in return volatility measures with random times
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks

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