Bauwens, L.; Giot, P. - 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 flexibilitythan the ACD model of Engel and Russel (1995), when additional variables are included in the model. We apply the log-ACD model to bid/ask prices...