In this paper the Autoregressive Conditional Duration model is analyzed under the assumption of a regime-switching Pareto II type distribution for the innovations. The diagnostics for residuals are then carried out after appropriately transforming them in order to achieve independency and identical distribution. The analysis of durations between price changes for the stock Fiat is presented.

Diagnostics for regime-switching distributed PACD model

DE LUCA, GIOVANNI;
2006

Abstract

In this paper the Autoregressive Conditional Duration model is analyzed under the assumption of a regime-switching Pareto II type distribution for the innovations. The diagnostics for residuals are then carried out after appropriately transforming them in order to achieve independency and identical distribution. The analysis of durations between price changes for the stock Fiat is presented.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/24725
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