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Estimation and Simulation of ACD models in MatLab 1.0 File ID: 79164 |
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| Estimation and Simulation of ACD models in MatLab 1.0 License: Freeware File Size: 30.7 KB Downloads: 70
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Estimation and Simulation of ACD models in MatLab 1.0 Description |
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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 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. License: Freeware Related: conditional, duration, Model, irregularly, autoregressive, russel, figure, showed, references, engle, spaced, Transaction, trades, Discussion, Papers, Finance, consecutive, econometrica O/S:BSD, Linux, Solaris, Mac OS X File Size: 30.7 KB Downloads: 70
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