Conditional duration model and the unobserved market heterogeneity of traders: an infinite mixture of non-exponentials

DOI10.15446/RCE.V39N2.51584zbMATH Open1435.62423OpenAlexW2505926352MaRDI QIDQ5114083FDOQ5114083

Authors: Emilio Gómez-Déniz, Jorge V. Pérez-Rodríguez 

Publication date: 21 June 2020

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v39n2.51584

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zbMATH Keywords

heterogeneitygamma distributionexponential distributionautoregressive conditional duration modelreciprocal inverse Gaussian distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Mixture Processes for Financial Intradaily Durations
• Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model
• Forecasting trade durations via ACD models with mixture distributions

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