- Autoregressive conditional duration
econometrics, an autoregressive conditional duration (ACD, Engle and Russell ( 1998)) model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction(a common trading mechanism in many financial markets) waiting times between two consecutive trades vary at random.
Specifically, let denote the duration (the waiting time between consecutive trades) andassume that , where, positive and with and wherethe series is given by
and where , ,, .
Robert F. Engleand J.R. Russell. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data", "Econometrica", 66:1127-1162, 1998.
* N. Hautsch. "Modelling Irregularly Spaced Financial Data", Springer, 2004.
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