Estimation and Simulation of ACD models in MatLab
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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 Discussion Papers in Finance, n. 5, 2000.
Free download from Shareware Connection - This submission includes functions and scripts for the estimation and simulation of ACD (autoregressive conditional duration) models.
Version: 1.0 | Size: 31 KB | Platform: Matlab, Scripts
Released Date: 11-06-2013 | Rating: 0 | Title: Estimation and Simulation of ACD models in MatLab
Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/17564/2/ACD_Models_FEX.zip
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