On Fréchet autoregressive conditional duration models
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文摘

We propose a new autoregressive conditional duration model by introducing the Fréchet distribution to the innovations.

This new model is able to capture the features of heavy tails and extreme values in trade durations data, which can usually be found in block trades.

We consider the maximum likelihood estimation for the model, and derive its asymptotic properties.

A diagnostic tool based on the residual autocorrelations is proposed.

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