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MODELLING TRADE DURATIONS WITH THE BIRNBAUM-SAUNDERS AUTOREGRESSIVE MODEL

<p>In this thesis we study the Birnbaum-Saunders autoregressive conditional du- ration (BS-ACD) model. As opposed to the standard ACD model, formulated in terms of the conditional mean duration, the BS-ACD model specifies the time-varying model dynamics in terms of the conditional median duration. By means of Monte Carlo simulations, we examine the asymptotic behaviour of the maximum likelihood estimators. We then present a study of numerical efficacy of some optimization algorithms in relation to the BS-ACD model. On a practical side, we fit the BS-ACD model to samples for six securities listed on the New York Stock Exchange.</p> / Master of Science (MSc)

Identiferoai:union.ndltd.org:mcmaster.ca/oai:macsphere.mcmaster.ca:11375/11092
Date10 1900
CreatorsMayorov, Kirill
ContributorsBalakrishnan, Narayanaswamy, Mathematics and Statistics
Source SetsMcMaster University
Detected LanguageEnglish
Typethesis

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