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Performance Evaluation of the ACD Models for Analysing the Transaction Data of the KOSPI Stocks
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 Title & Authors
Performance Evaluation of the ACD Models for Analysing the Transaction Data of the KOSPI Stocks
Kim, Sahm; Jung, Da-Woon;
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 Abstract
Engle and Russell (1998) proposed the ACD(Autoregressive Conditional Duration) model to explain the relationship between the prices and the duration times of the stocks. In this paper, we first introduce the various types of the ACD models such as the linear ACD, log ACD and Box-Cox ACD models and we evaluate the performance of the models for analysing the transaction data of the stocks in Korea.
 Keywords
ACD model;price duration;Box-Cox transformation;shocks impact curve;
 Language
Korean
 Cited by
 References
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