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Mixture Processes for Financial Intradaily Durations

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Author Info

  • De Luca Giovanni

    ()
    (University of Naples, Italy)

  • Gallo Giampiero M.

    (University of Florence, Italy)

Abstract

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.

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File URL: http://www.degruyter.com/view/j/snde.2004.8.2/snde.2004.8.2.1223/snde.2004.8.2.1223.xml?format=INT
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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 8 (2004)
Issue (Month): 2 (May)
Pages: 1-20

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Handle: RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8

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Cited by:
  1. Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121, December.
  3. Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010. "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers 10451, University of Tasmania, School of Economics and Finance, revised 30 May 2012.
  4. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
  5. Tony S. Wirjanto & Adam W. Kolkiewicz & Zhongxian Men, 2013. "Stochastic Conditional Duration Models with Mixture Processes," Working Paper Series 29_13, The Rimini Centre for Economic Analysis.
  6. BAUWENS, Luc & HAUTSCH, Nikolaus, . "Modelling financial high frequency data using point processes," CORE Discussion Papers RP -2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 594-616.
  8. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society.
  9. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
  10. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society.

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