Forecasting transaction rates
Subtitle: the autoregressive conditional duration model
By: Robert F. Engle, Jeffrey R. Russell.
Contributors: Russell, Jeffrey R.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper no. 4966; Working paper series (National Bureau of Economic Research) -- working paper no. 4966.
Publisher: National Bureau of Economic Research
Published: 1994
Place of publication: Cambridge, MA
Language: eng
Number of pages: 45
Subjects: Stocks -- Econometric models.; Stochastic processes -- Econometric models.; Heteroscedasticity.
Notes: "December 1994."

Includes bibliographical references (p. [43-45]).

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Electronic version available via the Internet at the NBER World Wide Web site.

Supported in part by National Science Foundation. Grant SES-9122056.