This paper deals with Autoregressive Conditional Duration (ACD) models for ultra-high frequency financial data with attention to the analysis of durations between different market events. On a real dataset of Italian financial market these different types of durations are empirically investigated in order to highlight both their mutual relations and the informative power of a particular distributional assumption. The Pareto distribution turns out to be a good tool for detecting features of different financial durations.
Detecting features of different financial durations through the Pareto distribution
DE LUCA, GIOVANNI;
2004-01-01
Abstract
This paper deals with Autoregressive Conditional Duration (ACD) models for ultra-high frequency financial data with attention to the analysis of durations between different market events. On a real dataset of Italian financial market these different types of durations are empirically investigated in order to highlight both their mutual relations and the informative power of a particular distributional assumption. The Pareto distribution turns out to be a good tool for detecting features of different financial durations.File in questo prodotto:
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