Regime-switching Pareto distributions for ACD models
نویسندگان
چکیده
Econometric literature on financial durations has been popularized by the introduction of the Autoregressive Conditional Duration model. In the latest years, a lot of refinements have been suggested. Following financial market microstructure arguments, it is argued that a Pareto distribution is a meaningful representation for durations. The model is analyzed under the hypothesis of regime-switching parameters. The transition is assumed governed both by an observable and a latent variable.
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 51 شماره
صفحات -
تاریخ انتشار 2006