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|Title:||MODELLING TRADE DURATIONS WITH THE BIRNBAUM-SAUNDERS AUTOREGRESSIVE MODEL|
|Department:||Mathematics and Statistics|
|Keywords:||high-frequency data;ACD model;Birnbaum-Saunders distribution;Statistics and Probability;Statistics and Probability|
|Abstract:||<p>In this thesis we study the Birnbaum-Saunders autoregressive conditional du- ration (BS-ACD) model. As opposed to the standard ACD model, formulated in terms of the conditional mean duration, the BS-ACD model specifies the time-varying model dynamics in terms of the conditional median duration. By means of Monte Carlo simulations, we examine the asymptotic behaviour of the maximum likelihood estimators. We then present a study of numerical efficacy of some optimization algorithms in relation to the BS-ACD model. On a practical side, we fit the BS-ACD model to samples for six securities listed on the New York Stock Exchange.</p>|
|Appears in Collections:||Open Access Dissertations and Theses|
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