• Communications for Statistical Applications and Methods
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• v.16 no.1
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• pp.21-29
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• 2009

Engle and Russell (1998) proposed the ACD(Autoregressive Conditional Duration) model to explain the relationship between the prices and the duration times of the stocks. In this paper, we first introduce the various types of the ACD models such as the linear ACD, log ACD and Box-Cox ACD models and we evaluate the performance of the models for analysing the transaction data of the stocks in Korea.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.221-230
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• 2016

This paper investigates volatilities of stock returns based on high frequency data from stock market. Incorporating the price duration as one of the factors in volatility, we employ the autoregressive conditional duration (ACD) model for the price duration in addition to the GARCH model to analyze stock volatilities. A combined ACD-GARCH model is analyzed in which a double-threshold is introduced to accommodate asymmetric features on stock volatilities.

• KOREAN JOURNAL OF CROP SCIENCE
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• v.33 no.4
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• pp.323-328
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• 1988

The hop alpha-acid content prediction model developed with meteorological elements in Hoeongseong was Y=28.369-0.003X$_1$＋1.558X$_2$-1.953X$_3$-0.335X$_4$-0.003X$\sub$5/-0.119X$\sub$6/, with MSEp of 0.004, Rp$^2$ of 0.9987, Rap$_2$ of 0.9949 and Cp of 7.00. The total sunshine hours (X$_1$), the maximum temperature (X$_3$) and the total precipitation (X$\sub$5/) at flowering stage. the maximum temperature at flower bud differentiation stage (X$_4$) and the maximum temperature at cone ripening stage (X$\sub$6/) influenced on hop alpha .acid content as decrement weather elements. The maximum temperature at cone development stage(X$_2$) effected on ${\alpha}$-acid content as increment weather element.