Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution

Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution

This paper proposes a logarithmic version of the two-component ACD (LogCACD) model with no restrictions on the sign of the model parameters while allowing the expected durations to be decomposed into the long- and short-run components to capture the dynamics of these durations. The extended generali...

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Bibliographic Details
Main Authors: Yiing Fei Tan, Kok Haur Ng, You Beng Koh, Shelton Peiris
Format: Article
Language:English
Published: MDPI AG 2022-05-01
Series:Mathematics
Subjects:
autoregressive conditional duration
two-component model
extended generalised inverse Gaussian
hazard function
time-at-risk
Online Access:https://www.mdpi.com/2227-7390/10/10/1621

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