A Family of Autoregressive Conditional Duration Model under Random Environment

摘要：

This article contains two novelties. First, we propose a new type of augmented ACD model under random environment It turns out that flexible disturbance of the news impact function are necessary to appropriately model financial durations. The ACD model under random environment proposed in this paper seem to be a valuable alternative to existing approaches and have the best overall performance. Second, we give the transition probability of the process. Moreover by employing the transition probability, we give the probability properties of the ACD model under random environment, and give rigorous proofs of the probability properties.

关键词： ACD model Markov chain geometric ergodicity small set

作者: Junhong Miao Yanying Wang

作者单位: School of Mathematics and statistics Hainan Normal University Haikou, China Department of Basic Courses Shandong University of Science and Technology Jinan, China

会议类型: 国际会议

会议名称: 2011 Fourth International Symposium on Computational Interlligence and Design 第四届计算智能与设计国际会议 ISCID 2011

会议地点: 杭州

会议语种:英文

页码: 491-493

在线出版日期: 2011-10-28（万方平台首次上网日期，不代表论文的发表时间）