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Finite and infinite mixtures for financial durations

  • Giovanni De Luca
  • Paola Zuccolotto

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Article provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.

Volume (Year): LXI (2003)
Issue (Month): 3 ()
Pages: 431-455

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Handle: RePEc:mtn:ancoec:030307
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  1. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc.
  2. BAUWENS, Luc & ROMBOUTS, Jeroen V.K., . "Econometrics," CORE Discussion Papers RP 1713, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Rombouts, Jeroen V. K. & Bauwens, Luc, 2004. "Econometrics," Papers 2004,33, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  3. BAUWENS, Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, . "A comparison of financial duration models via density forecasts," CORE Discussion Papers RP 1746, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
  5. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania.
  6. Paola Zuccolotto, 2002. "Modelling the impact of open volume on inter-trade autoregressive durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 49-63.
  7. repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
  8. Ghysels, Eric, 2000. "Some Econometric Recipes for High-Frequency Data Cooking," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 154-63, April.
  9. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
  10. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  11. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
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