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| Author: | Engle, R. F. Russell, J. R. |
| Title: | Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model |
| Journal: | Journal of Empirical Finance
1997 : JUN, Vol. 4:2-3, p. 187-212 |
| Index terms: | FORECASTING FOREIGN EXCHANGE STATISTICAL METHODS |
| Language: | eng |
| Abstract: | This paper applies the Autoregressive Conditional Duration model to Foreign Exchange quotes arriving on Reuters screen. The Autoagressive Conditional Duration model, developed in Eagle and Russell, is a new statistical model for the analysis of data that does not arrive in equal time intervals. When Dollar/Deutschmark data are examined, it is clear that many of the price quotes are simply noisy repeats of the previous quote. By systematically thinning the sample, a measure of the time between price changes is developed. |
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