Skip Navigation

This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Canopius, A.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Journal of Financial Econometrics Vol. 2, No. 3, pp. 472-476
Journal of Financial Econometrics, Vol. 2, No. 3, © Oxford University Press 2004; all rights reserved.

Practitioners' Corner

Adam Canopius
a.canopius@cirano.qc.ca

The first 150 words of the full text of this article appear below.

In his recent excursion to the new frontiers for autoregressive conditional heteroskedasticity (ARCH), Engle (2002) points out the "application of ARCH models to the broad class of non-negative processes." Indeed, while ARCH models were initially introduced to capture the positive serial correlation of squared returns (see "Practitioners' Corner," Journal of Financial Econometrics 1(1), 2003, for a retrospective on volatility modeling), other nonnegative processes have shown up recently as major concerns in empirical finance. Examples include the time between trades, the ask price minus the bid price, the high price minus the low price over a time period, the time of default, and so on. With the article by Dingan Feng, George Jiang, and Peter Song (hereafter FJS) in this issue of Journal of Financial Econometrics focused on durations between transactions, it is instructive to accompany Engle to this new frontier for ARCH.

Engle notes that "the autoregressive conditional duration (ACD) . . . [Full Text of this Article]


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?