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Article information
2010 , Volume 15, ¹ 4, p.20-26
Stoyanovich V., Popovich B.
Discrete autoregressive model of conditional duration
In this paper we propose the discrete model which describes the low frequency of changes in stock prices. As a basic distribution, we used a discrete type distribution and also an autoregressive sequence. So, we named this model Discrete Autoregressive Conditional Duration (D-ACD) model. The main stochastic properties of the model are given. We apply this model on the real data set from Belgrade Stock Exchange.
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Keywords: D-ACD-models, discrete type distribution, stopping time, estimation of parameters
Author(s):
Stoyanovich Vladica
Dr. , Associate Professor
Office: University of Pristina
Address: Serbia, Kosovska Mitrovica
Popovich Bilyana
Dr. , Professor
Office: University of Pristina
Address: Serbia, Kosovska Mitrovica
Bibliography link:
Stoyanovich V., Popovich B. Discrete autoregressive model of conditional duration // Computational technologies. 2010. V. 15. ¹ 4. P. 20-26
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