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

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

Jorge V. Pérez-Rodríguez, Emilio Gómez-Déniz

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

Recommendations

• Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model
• Finite and infinite mixtures for financial durations
• Mixture Processes for Financial Intradaily Durations
• Forecasting trade durations via ACD models with mixture distributions
• Econometric analysis of financial trade processes by discrete mixture duration models

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)

Cited In (1)

• Mixture Processes for Financial Intradaily Durations

This page was built for publication: Conditional duration model and the unobserved market heterogeneity of traders: an infinite mixture of non-exponentials

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5114083)