Estimation and Simulation of ACD models in MatLab 1.0

Date Added: May 25, 2013 | Visits: 645

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This submission includes functions and scripts for the estimation and simulation of ACD (autoregressive conditional duration) models. The zip file includes: - Scripts and functions for Estimation of an ACD(q,p) model with exponential or weibull distribution- Scripts and functions for Simulation of an ACD(q,p) model with exponential or weibull distribution- Scripts for cool plots/movies of weibull, burr and generalized gamma distributions.- Scripts and functions for visualizing the log likelihood space of the model (the figure showed at file submission) References: ENGLE, R, RUSSEL. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, Vol. 66, N. 5, pp 1127-1162, 1998. DUFOUR, A., ENGLE, R. The ACD Model: Predictability of the Time between Consecutive Trades. ICMA d-deOCt Discussion Papers in Finance, n. 5, 2000.

Requirements: No special requirements

Platforms: Matlab

Keyword: Autoregressive, Conditional, Consecutive, Discussion, Duration, Econometrica, Engle, Figure, Finance, Irregularly, Model, Papers, References, Russel, Showed, Spaced, Trades, Transaction

Users rating: 0/10

License: Freeware

Size: 30.72 KB

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