Refinements have been proposed for the autoregressive conditional duration model within the framework of financial durations. It is argued that a Pareto distribution is a meaningful representation for durations. The model is analyzed under the hypothesis of regime-switching parameters with different transition functions governed both by an observable and a latent variable.

Regime-switching Pareto distributions for ACD models

DE LUCA, GIOVANNI;
2006

Abstract

Refinements have been proposed for the autoregressive conditional duration model within the framework of financial durations. It is argued that a Pareto distribution is a meaningful representation for durations. The model is analyzed under the hypothesis of regime-switching parameters with different transition functions governed both by an observable and a latent variable.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/24697
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