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Estimation and Simulation of ACD models in MatLab 1.0
File ID: 79164






Estimation and Simulation of ACD models in MatLab 1.0
Download Estimation and Simulation of ACD models in MatLab 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 30.7 KB
Downloads: 70
Submit Rating:
Estimation and Simulation of ACD models in MatLab 1.0 Description
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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