The WACD__Model.xlsx Model

Autoregressive Conditional Duration (ACD) Model

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Given a series of intraday (i.e. transaction based) duration data, we want to model the time intervals between transactions.
The methodology takes into account the occurence of every transaction and makes the time interval itself a variable.


Econometrics | Time Series | High Frequency Data Analysis | Market Microstructure | Nonlinear Regression | Maximum Likelihood | Duration Model |