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
ZUCCOLOTTO, Paola
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:
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Regime-switching Pareto distributions for ACD models - CSDA - De Luca Zuccolotto.pdf
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