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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Autoregressive conditional duration ： ウィキペディア英語版 Autoregressive conditional duration In financial econometrics, an autoregressive conditional duration (ACD, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction (a common trading mechanism in many financial markets) waiting times between two consecutive trades vary at random. ==Definition== Specifically, let $~\backslash tau\_t~$ denote the duration (the waiting time between consecutive trades) and assume that $~\backslash tau\_t=\backslash theta\_t\; z\_t\; ~$, where $z\_t$ are independent and identically distributed random variables, positive and with $\backslash operatorname(z\_t)\; =\; 1$ and where the series $~\backslash theta\_t~$ is given by $\backslash theta\_t\; =\; \backslash alpha\_0\; +\; \backslash alpha\_1\; \backslash tau\_\; +\; \backslash cdots\; +\; \backslash alpha\_q\; \backslash tau\_\; +\; \backslash beta\_1\; \backslash theta\_\; +\; \backslash cdots\; +\; \backslash beta\_p\backslash theta\_\; =\; \backslash alpha\_0\; +\; \backslash sum\_^q\; \backslash alpha\_i\; \backslash tau\_\; +\; \backslash sum\_^p\; \backslash beta\_i\; \backslash theta\_$ and where $~\backslash alpha\_0>0~$, $\backslash alpha\_i\backslash ge\; 0$, $\backslash beta\_i\; \backslash ge\; 0$, $~i>0$. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Autoregressive conditional duration」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.