BAUWENS, LUC; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1997
This paper introduces the logarithmic autoregressive conditional duration model (Log-ACD model). The logarithmic version allows for more flexibility than the ACD model of Engle and Russel (1995), when additional variables are included in the model. We apply the Log-ACD model to bid/ask prices...
