This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Mixture Processes for Financial Intradaily Durations

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Giovanni De Luca (University of Naples, Italy)
Giampiero M. Gallo (University of Florence, Italy)

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1223&context=snde
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 8 (2004)
Issue (Month): 2 ()
Pages:
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8

Contact details of provider:
Web page: http://www.bepress.com/snde

For technical questions regarding this item, or to correct its listing, contact: (Avi Warner).

Related research
Keywords: Ultra-high frequency data; Autoregressive Conditional Duration Models; Volatility; Market microstructure; Mixture of distributions;

Other versions of this item:

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  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 "G. Parenti". [Downloadable!]
    Other versions:
  2. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]
  3. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," CORE Discussion Papers 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:
  4. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
  5. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? Want to help out with this project? Look for volunteer opportunities.

This page was last updated on 2009-12-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.