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;
2006-01-01
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.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
