Econometric analysis of financial trade processes by discrete mixture duration models

DOI10.1016/J.JEDC.2005.09.015zbMath1162.91525OpenAlexW3125758674MaRDI QIDQ959753

Sandra Vuletić, Reinhard Hujer

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.09.015

zbMATH Keywords

duration modelsmarket microstructuremixture models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (6)

Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ A semiparametric conditional duration model ⋮ 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 ⋮ Periodic autoregressive conditional duration

Cites Work

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• Curve fitting by polynomial-trigonometric regression
• Mixture Processes for Financial Intradaily Durations
• What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
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• On a measure of lack of fit in time series models
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• Cumulative Frequency Functions
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• Stationarity of multivariate Markov-switching ARMA models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
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