Modelling the relationships between duration and variation in asset prices

Modelling the relationships between duration and variation in asset prices

This paper proposes a Generalized Logarithmic Autoregressive Conditional Duration (GLACD) model to examine the interaction between duration and variation in asset prices, and thus provides a convenient framework to test statistically the existence of such relationship. The model is flexible and conta...

Full description

Bibliographic Details
Main Authors: Chan, Felix, Petchey, James
Format: Conference Paper
Published: 2015
Online Access:http://hdl.handle.net/20.500.11937/77077

Internet

http://hdl.handle.net/20.500.11937/77077

Similar Items