Modelling and forecasting with financial duration data using non-linear model
The class of autoregressive conditional duration (ACD) models plays an important role in modelling the duration data in economics and finance. This paper presents a non-linear model to allow the first four moments of the duration to depend nonlinearly on past information variables. Theoretically the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academy of Economic Studies, Bucharest
2016
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| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/433/ http://eprints.sunway.edu.my/433/1/Pooi%20Ah%20Hin.pdf |