On the residual autocorrelation of the autoregressive conditional duration model

Economics Letters

Volumn 79, Issue 2, 2003, Pages 169-175

  Li, W K ^a   Yu, Philip L H ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Asymptotic distribution; Autoregressive conditional duration models; Goodness of fit test; Residual autocorrelations

Indexed keywords

EID: 0037401686     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(02)00303-8     Document Type: Article

References (5)

1. Box, G.E.P., Pierce, D.A., 1970. Distribution of the residual autocorrelation in autoregressive integrated moving average time series models. Journal of the American Statistical Association 65, 1509-1526.
2. Davies, N., Triggs, C.M., Newbold, P., 1977. Significance levels of the Box-Pierce portmanteau statistic in finite samples. Biometrika 64, 517-522.
3. Engle, R.F., Russell, J.R., 1997. Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. Journal of Empirical Finance 4, 187-212.
4. Engle, R.F., Russell, J.R., 1998. Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica 66, 1127-1162.
5. Li, W.K., Mak, T.K., 1994. On the squared residual autorrelations in non-linear time series with conditional heteroscedasticity. Journal of Time Series Analysis 15, 627-636.