Statistics Seminar: Lazarov -- Comparison of Alternative ACD Models via Density and Interval

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               *          UNIVERSITY OF SYDNEY              * 
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               *     SCHOOL OF MATHEMATICS & STATISTICS     *
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               *       STATISTICS SEMINAR SERIES - 2007     *
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                     *        SEMINAR NOTICE    *           
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           Comparison of Alternative ACD Models via Density and Interval
                  Forecasts: Evidence from the Australian Stock Market 

                     Zdravetz Lazarov (University of Western Australia) 
 
                         Friday, 27 April, 2.00pm 

                               Carslaw 373 

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In this paper a number of alternative ACD models are compared using a
sample
of data for three major companies traded on the Australian Stock
Exchange.
The comparison is performed by employing the methodology for evaluating
den-
sity and interval forecasts, developed by Diebold, Gunther and Tay
(1998) and
Christofersen (1998), respectively. Our main finding is that the
generalized
gamma and log-normal distributions for the error terms have similar
perfor-
mance and perform better that the exponential and Weibull distributions.
Ad-
ditionally, there seems to be no substantial difference between the
standard
ACD specification of Engle and Russel (1998) and the log-ACD
specification of
Bauwens and Giot (2000).

This is the joint work with David Allen (ECU), Michael McAleer (UWA) and Shelton
Peiris (U of Sydney).  

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