Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
415675 | Computational Statistics & Data Analysis | 2006 | 13 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Giovanni De Luca, Paola Zuccolotto,