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Estimation and Simulation of ACD models in Matlab


Description:

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 above) 

Required Products:

Statistics, Optimization
  
References: 
  
Engle, R, Russel (1998) Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, Vol. 66, N. 5, pp 1127-1162.
  
Dufour, A., Engle, R (2000) The ACD Model: Predictability of the Time between Consecutive Trades. ICMA – Discussion Papers in Finance, n. 5.
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Marcelo Perlin,
Jun 21, 2012, 11:27 AM
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