The Econometric Society An International Society for the Advancement of Economic Theory in its Relation to Statistics and Mathematics
Home Contacts

New Journals

Editorial Board
Journal News

Monograph Series

September 1998 - Volume 66 Issue 5 Page 1127 - 1162


Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Robert F. Engle
Jeffrey R. Russell


This paper proposes a new statistical model for the analysis of data which arrive at irregular intervals. The model treats the time between events as a stochastic process and proposes a new class of point processes with dependent arrival rates. The conditional intensity is developed and compared with other self-exciting processes. Because the model focuses on the expected duration between events, it is called the autoregressive conditional duration (ACD) model. Asymptotic properties of the quasi maximum likelihood estimator are developed as a corollary to ARCH model results. Strong evidence is provided for duration clustering for the financial transaction data analyzed; both deterministic time-of-day effects and stochastic effects are important. The model is applied to the arrival times of trades and therefore is a model of transaction volume, and also to the arrival of other events such as price changes. Models for the volatility of prices are estimated with price-based durations, and examined from a market microstructure point of view.

Full content Login                                    

Note: to view the fulltext of the article, please login first and then click the "full content" button. If you are based at a subscribing Institution or Library or if you have a separate access to JSTOR/Wiley Online Library please click on the "Institutional access" button.
Prev | All Articles | Next
Go to top

Email me my password
Change your address
Register for password
Require login:
Amend your profile
E-mail Alerting
The Society
About the Society
Society News
Society Reports
Future Meetings
Past Meetings
Meeting Announcements
web this site
Site created and maintained by Wiley-Blackwell.
Comments? Contact
To view our Privacy Policy, please click here.