ACD autoregressive conditional duration

[eviewsNewbie]

Hi,

Are there any ACD examples in EViews available for download?

Thanks

[QSnakecharmer]

To my knowledge, eviews has not incorporated duration models yet (so, there are no ACD examples yet).

[razor73]

i agree with QSnakecharmer said that "eviews has not incorporated duration models yet" so there are no ACD examples yet!!!

[trubador]

As the name suggests, Autoregressive Conditional Duration (ACD) models deal with the time duration between transactions in high frequency data and share very similar principles to that of GARCH models. Many types of ACD models can be easily built and estimated via EViews' logl object. The difficulty of such models does not lie in the estimation, but rather in preprocessing of the data itself. For instance, in order to prepare the data for the analysis, one should first adjust for the diurnal pattern (a similar concept to seasonality) observed in such data, which is not that much easy to handle.

[juney.inin]

My friend says that their are many types of ACD models can be easily built and estimated via EViews' logl object. The models does difficulty is not lie in the estimation..