Regime-switching Pareto distributions for ACD models

DOI10.1016/J.CSDA.2006.08.019MaRDI QIDQ1010563zbMATH OpenOpenAlexFDO

Authors 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

autoregressive conditional durationmarket microstructureMarkov-switching modelPareto distribution

Mathematics Subject Classification ID

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

Recommendations

• On Fréchet autoregressive conditional duration models
• A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• A family of autoregressive conditional duration models
• Econometric analysis of financial trade processes by discrete mixture duration models

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Econometric analysis of financial trade processes by discrete mixture duration models
• Finite and infinite mixtures for financial durations
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Mixture Processes for Financial Intradaily Durations
• Non‐monotonic hazard functions and the autoregressive conditional duration model

Cited in

(16)

• 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
• Maximum likelihood estimates for positive valued dynamic score models; the DySco package
• A family of autoregressive conditional duration models applied to financial data
• Bounds for the probability distribution function of the linear ACD process
• On a quantile autoregressive conditional duration model
• High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
• On Fréchet autoregressive conditional duration models
• The Pareto distribution (type III) gives a good first approximation to the transaction intervals of Nikkei 225 futures in the OSE
• Extension and verification of the asymmetric autoregressive conditional duration models
• Stationarity and ergodicity of Markov switching positive conditional mean models
• Forecasting trade durations via ACD models with mixture distributions
• Regime-switching fractionally integrated augmented ACD model on ultra-high-frequency data
• On an independent-switching periodic autoregressive conditional duration
• The Birnbaum-Saunders autoregressive conditional duration model

This page was built for publication: Regime-switching Pareto distributions for ACD models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1010563)