The class of ACD models was introduced by Engle and Russell (1998). It allows one to model intraday financial durations between market events, such as volume, price changes and so on. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.
The distributional assumptions for ACD models
DE LUCA, GIOVANNI
2003-01-01
Abstract
The class of ACD models was introduced by Engle and Russell (1998). It allows one to model intraday financial durations between market events, such as volume, price changes and so on. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.File in questo prodotto:
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