Finite and infinite mixtures for financial durations

MaRDI QIDQ2002901zbMATH OpenFDO

Authors Giovanni De Luca, Paola Zuccolotto

Publication date 12 July 2019

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

autoregressive conditional duration (ACD)durationmixture of distributionsultra-high frequency data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(5)

• Regime-switching Pareto distributions for ACD models
• Mixture Processes for Financial Intradaily Durations
• Conditional duration model and the unobserved market heterogeneity of traders: an infinite mixture of non-exponentials
• Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
• Econometric analysis of financial trade processes by discrete mixture duration models

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