This paper deals with 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 aiming to highlight both their mutual relations and the informative power of a particular distributional assumption.
Empirical evidence for different financial durations
DE LUCA, GIOVANNI;
2004-01-01
Abstract
This paper deals with 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 aiming to highlight both their mutual relations and the informative power of a particular distributional assumption.File in questo prodotto:
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