- 期刊
An Empirical Investigation of the ACD Model for Trading Price: Comparison and Selection
並列摘要
This paper compares the dynamic fitting behavior of parametric and nonparametric trading duration models, and selects an appropriate autoregressive conditional duration (ACD) model for analyzing price duration. A rule for the initial exploration of how to choose the better ACD models in stock market is provided in the procedure. We review several recently proposed parametric ACD models and the nonparametric ACD model with their estimation methods, respectively. Based on the ACD (1, 1) model that was studied by Tsay (2002), the fitting abilities of these parametric and nonparametric ACD models are evaluated by Monte Carlo simulations. The trading price duration regarding the volume is investigated under the intraday irregularly spaced data of Shanghai Pudong Development Bank in Shanghai Stock market from June 1, 2004 to December 31, 2004.
延伸閱讀
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