Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

DOI10.1080/07474930802387944MaRDI QIDQ3615080zbMATH OpenOpenAlexFDO

Authors Giovanni De Luca, Giampiero M. Gallo

Publication date 17 March 2009

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://local.disia.unifi.it/ricerca/pubblicazioni/working_papers/2005/wp2005_11.pdf

zbMATH Keywords

autoregressivemixture of distributionstime-varying weightsconditional durationsfinancial durationsIBM data

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

• Forecasting trade durations via ACD models with mixture distributions
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Cites work

• A multiple indicators model for volatility using intra-daily data
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Econometric modelling of stock market intraday activity.
• Financial econometric analysis at ultra-high frequency: Data handling concerns
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• Stochastic volatility duration models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

Cited in

(11)

• Forecasting trade durations via ACD models with mixture distributions
• Mixture models in econometric duration analysis
• Modelling the impact of open volume on inter-trade autoregressive durations
• Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
• Volatility-Related Exchange Traded Assets: An Econometric Investigation
• Mixture Processes for Financial Intradaily Durations
• Time-varying autoregressive conditional duration model
• The dynamic mixed hitting-time model for multiple transaction prices and times
• 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

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