5A nonparametric ACD model
1. Introduction
Waiting times between particular financial events, such as trades, quote updates, or volume accumulation, are an important object of analysis in the econometrics of financial market microstructure. The statistical inspection of the durations between these events reveals the presence of a series of stylized facts (for instance, clustering and overdispersion) that are rather common features in financial data. For instance, they can be compared with the clustering and fat tails displayed by the time-varying conditional variance of financial returns. The traditional econometric approach to duration analysis therefore needs to be extended to be able to fit and reproduce ...
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