Estimation and Simulation of ACD models in MatLab

Functions and Scripts for Simulation and Estimation of ACD models

Description

This submission includes functions and scripts for the estimation and simulation of ACD (autoregressive conditional duration) models.
 
The zip file includes:
 
- Scripts and functions for Estimation of an ACD(q,p) model with exponential or weibull distribution
- Scripts and functions for Simulation of an ACD(q,p) model with exponential or weibull distribution
- Scripts for cool plots/movies of weibull, burr and generalized gamma distributions.
- Scripts and functions for visualizing the log likelihood space of the model (the figure showed at file submission)
 
References:
 
ENGLE, R, RUSSEL. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, Vol. 66, N. 5, pp 1127-1162, 1998.
 
DUFOUR, A., ENGLE, R. The ACD Model: Predictability of the Time between Consecutive Trades. ICMA – Discussion Papers in Finance, n. 5, 2000.
 

• Acknowledgements: This submission has inspired the following:; Simulate a Hawkes process
• Required Products: Statistics Toolbox; Optimization Toolbox
• MATLAB release: MATLAB 7.2 (R2006a)

[si pal]

Very useful. Thanks for sharing the codes.

[Zahid Khan]

Thank you Marcelo! It was indeed very helpful in understanding those papers.

[Salman]

good one