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)

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• 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