Modelling the relationships between duration and variation in asset prices

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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...

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

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