Regime-switching Pareto distributions for ACD models

DOI10.1016/J.CSDA.2006.08.019zbMath1157.62520OpenAlexW2061267541MaRDI QIDQ1010563

Giovanni De Luca, Paola Zuccolotto

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.019

zbMATH Keywords

Pareto distributionMarkov-switching modelmarket microstructureautoregressive conditional duration

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 (12)

Maximum likelihood estimates for positive valued dynamic score models; the DySco package ⋮ A family of autoregressive conditional duration models applied to financial data ⋮ Extension and verification of the asymmetric autoregressive conditional duration models ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Forecasting trade durations via ACD models with mixture distributions ⋮ High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model ⋮ The Birnbaum-Saunders autoregressive conditional duration model ⋮ Intraday trade and quote dynamics: A Cox regression analysis ⋮ On the interday homogeneity in the intraday rate of trading ⋮ Volatility forecasting using threshold heteroskedastic models of the intra-day range ⋮ On a quantile autoregressive conditional duration model

Cites Work

• Unnamed Item
• Econometric analysis of financial trade processes by discrete mixture duration models
• Finite and infinite mixtures for financial durations
• Mixture Processes for Financial Intradaily Durations
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• 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

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