AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE
综述了自回归条件久期（ACD）模型的主要理论发展及其在金融数据中的实证应用，包括标准模型扩展、诊断检验和联合模型，并指出未来研究方向。
Abstract This paper provides an up‐to‐date survey of the main theoretical developments in autoregressive conditional duration (ACD) modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research.