Autoregressive conditional duration
Encyclopedia
In financial econometrics
, an autoregressive conditional duration (ACD, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction
(a common trading mechanism in many financial markets) waiting times between two consecutive trades vary at random.
denote the duration
(the waiting time between consecutive trades) and
assume that
, where
, positive and with 
and where
the series
is given by
and where
, 
,
, 
.
Econometrics
Econometrics has been defined as "the application of mathematics and statistical methods to economic data" and described as the branch of economics "that aims to give empirical content to economic relations." More precisely, it is "the quantitative analysis of actual economic phenomena based on...
, an autoregressive conditional duration (ACD, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction
Auction
An auction is a process of buying and selling goods or services by offering them up for bid, taking bids, and then selling the item to the highest bidder...
(a common trading mechanism in many financial markets) waiting times between two consecutive trades vary at random.
Definition
Specifically, let denote the duration(the waiting time between consecutive trades) and
assume that
, where, positive and with and wherethe series
is given byand where
, ,, .