Mixture Processes for Financial Intradaily Durations

DOI10.2202/1558-3708.1223zbMATH Open1081.91526OpenAlexW2132070141MaRDI QIDQ3368339FDOQ3368339

Authors: Giovanni De Luca, Giampiero M. Gallo 

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1223

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zbMATH Keywords

VolatilityMixture of distributionsMarket microstructureAutoregressive Conditional Duration ModelsUltra-high frequency data

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cited In (14)

• Mixtures of compound Poisson processes as models of tick-by-tick financial data
• Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
• A goodness-of-fit test for a class of autoregressive conditional duration models
• A nonparametric test of the mixture-of-distributions model
• Finite and infinite mixtures for financial durations
• 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
• Volatility-Related Exchange Traded Assets: An Econometric Investigation
• Conditional duration model and the unobserved market heterogeneity of traders: an infinite mixture of non-exponentials
• Econometric analysis of financial trade processes by discrete mixture duration models
• A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
• Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
• Forecasting trade durations via ACD models with mixture distributions

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