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Helton Saulo and Jeremias Leão
 
''On log-symmetric duration models applied to high frequency financial data''
( 2017, Vol. 37 No.2 )
 
 
This paper deals with a new generalization of autoregressive conditional duration (ACD) models. In special, we propose a new family of ACD models based on a class of log-symmetric distributions. In this new class, it is possible to model both median and skewness of the duration time distribution. We discuss maximum likelihood estimation of the model parameters. For illustrative purposes, we analyze a high frequency financial data set from the German DAX in 2016.
 
 
Keywords: Log-symmetric distributions, likelihood method, high frequency data, autoregressive conditional
JEL: C5 - Econometric Modeling: General
C4 - Econometric and Statistical Methods: Special Topics
 
Manuscript Received : Jan 12 2017 Manuscript Accepted : May 14 2017

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