文章基本信息

标题：The Moments of Log-ACD Models
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作者：Luc Bauwens ; Fausto Galli ; Pierre Giot 等
期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2008
卷号：2
期号：1
页码：1-28
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：We provide existence conditions and analytical expressions of the moments of Log-ACD models. Wefo cus on the dispersion index and the autocorrelation function and compare them with those of ACDand SCD mo dels
关键词：Duration model; overdispersion; autocorrelation function; high frequency financial data