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Finite and infinite mixtures for financial durations

  • Giovanni De Luca
  • Paola Zuccolotto

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File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2003-3-431-455.pdf
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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, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
  2. Rombouts, Jeroen V. K. & Bauwens, Luc, 2004. "Econometrics," Papers 2004,33, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  3. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc.
  4. 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.
  5. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
  6. 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.
  7. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
  8. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
  9. Luc BAUWENS & Pierre GIOT, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 117-149.
  10. 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.
  11. 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.
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