Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
Financial market price formation and exchange activity can be investigated by means of ultra-high frequency data. In this paper we investigate an extension of the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998) by adopting a mixture of distribution approach with time varying weights. Empirical estimation of the Mixture ACD model shows that the limitations of the standard base model and its inadequacy of modelling the behavior in the tail of the distribution are suitably solved by our model. When the weights are made dependent on some market activity data, the model lends itself to some structural interpretation related to price formation and information diffusion in the market.
|Date of creation:||Jun 2006|
|Contact details of provider:|| Postal: Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy|
Phone: +39 055 2751500
Fax: +39 055 2751525
Web page: http://www.disia.unifi.it/
More information through EDIRC
References listed on IDEAS
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.:
- 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.
- Ghysels, Eric, 2000. "Some Econometric Recipes for High-Frequency Data Cooking," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 154-163, April.
- De Luca Giovanni & Gallo Giampiero M., 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-20, May.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995.
CORE Discussion Papers
1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
- Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004.
"Stochastic volatility duration models,"
Journal of Econometrics,
Elsevier, vol. 119(2), pages 413-433, April.
- Christian T. Brownlees & Giampiero Gallo, 2006.
"Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns,"
Econometrics Working Papers Archive
wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December.
- Robert F. Engle & Giampiero M. Gallo, 2003.
"A Multiple Indicators Model For Volatility Using Intra-Daily Data,"
Econometrics Working Papers Archive
wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
- Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc.
- Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.
- Ken Nyholm, 2002. "Estimating the Probability of Informed Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(4), pages 485-505.
- Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach The views presented in the paper are not necessarily shared by the European Central Bank," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470.
- Luc Bauwens & David Veredas, 2004.
"The stochastic conditional duration model: a latent factor model for the analysis of financial durations,"
ULB Institutional Repository
2013/136234, ULB -- Universite Libre de Bruxelles.
- BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Joachim Grammig & Kai-Oliver Maurer, 2000. "Non-monotonic hazard functions and the autoregressive conditional duration model," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 16-38.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
- Jaffe, Jeffrey F & Winkler, Robert L, 1976. "Optimal Speculation against an Efficient Market," Journal of Finance, American Finance Association, vol. 31(1), pages 49-61, March.
When requesting a correction, please mention this item's handle: RePEc:fir:econom:wp2006_12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francesco Calvori)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.