Recently Czado and Haug (2010) introduced the ACD-ECOGARCH(1,1) model. In their approach they use an exponential autoregressive conditional duration model to describe the dependence structure in durations of ultra-high-frequency financial data. The innovation process of the ACD model then defines the interarrival times of a compound,Poisson process. This compound,Poisson process is then the
... [Show full abstract] background driving L´evy process of an exponential continuous time GARCH(1,1) process. The parameters of the latter process are estimated by means of quasi maximum,likelihood estimation. In this paper we analyse the finite sample properties of this estimator. We conclude with an extended version of the empirical application in Czado and Haug (2009). Keywords and phrases: ultra-high-frequency data, ECOGARCH, ACD, QMLE, leverage effect.