Mixture Processes for Financial Intradaily Durations

DOI10.2202/1558-3708.1223zbMath1081.91526OpenAlexW2132070141MaRDI QIDQ3368339

Giampiero M. Gallo, Giovanni De Luca

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1223

zbMATH Keywords

Market microstructureVolatilityMixture of distributionsAutoregressive Conditional Duration ModelsUltra-high frequency data

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (6)

Forecasting trade durations via ACD models with mixture distributions ⋮ Asymptotic properties of the maximum likelihood estimator in regime switching econometric models ⋮ Econometric analysis of financial trade processes by discrete mixture duration models ⋮ Regime-switching Pareto distributions for ACD models ⋮ JOINT MODELING OF CORRELATED TIME DURATIONS AND THEIR MARKS USING A WEIBULL POISSON MARKED POINT PROCESS MIXTURE MODELS ⋮ A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models

This page was built for publication: Mixture Processes for Financial Intradaily Durations