Multivariate Copula-ACD Model and Its Application

There are a growing body of literature demonstrating that ACD model play an increasingly role in the field of the finance and economics.By combing Copula method and ACD model,using the theory of Copula to build multivariate Copula-ACD model,in this paper the condition correlation relationship of trading duration is described.This model can alleviate the difficulty of estimating parameters and nonsynchronous trading in vector ACD model at some degree.The empirical analysis based on the four index stocks from the SSE 50 index,multivariate Copula-ACD model proved to capture the clustering structure better in trading duration in Chinese stocks market and provides the joint density function for trading duration.The model is used to estimate the autocorrelation and cross-sectional correlation and further describe and test the spillover effect of multivariate durations to help decision making.