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ACD综述
doi: 10.1111/j.1467-6419.2007.00547.x
AUTOREGRESSIVE CONDITIONAL
DURATION MODELS IN FINANCE: A
SURVEY OF THE THEORETICAL AND
EMPIRICAL LITERATURE
Maria Pacurar
School of Business Administration, Dalhousie University
Abstract. This paper provides an up-to-date survey of the main theoretical de-
velopments in autoregressive conditional duration (ACD) modeling and empirical
studies using financial data. First, we discuss the properties of the standard ACD
specification and its extensions, existing diagnostic tests, and joint models for
the arrival times of events and some market characteristics. Then, we present the
empirical applications of ACD models to different types of events, and identify
possible directions for future research.
Keywords. Autoregressive conditional duration model; Tick-by-tick data; Du-
ration clustering; Marked point process; Market microstructure; Asymmetric
information
1. Introduction
Until two decades ago, most empirical studies in finance employed, as the finest
frequency, daily data obtained by retaining either the first or the last observation
of the day for the variable of interest (i.e. the closing price), thus neglecting all
intraday events. However, due to the increased automatization of financial markets
and the rapid developments in raising computer power, more and more exchanges
have set up intraday databases that record every single transaction together with
its characteristics (such as price, volume, etc.). The availability of these low-cost
intraday datasets fueled the development of a new area of financial research: high-
frequency finance. Embracing finance, econometrics, and time series statistics, the
analysis of h
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