Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

DOI10.1080/07474930802387944zbMath1161.62073OpenAlexW2166827666MaRDI QIDQ3615080

Giampiero M. Gallo, Giovanni De Luca

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://local.disia.unifi.it/ricerca/pubblicazioni/working_papers/2005/wp2005_11.pdf

zbMATH Keywords

autoregressivemixture of distributionstime-varying weightsconditional durationsfinancial durationsIBM data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Forecasting trade durations via ACD models with mixture distributions

Cites Work

• Financial econometric analysis at ultra-high frequency: Data handling concerns
• A multiple indicators model for volatility using intra-daily data
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Stochastic volatility duration models
• Econometric modelling of stock market intraday activity.
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• A nonlinear autoregressive conditional duration model with applications to financial transaction data