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Econometric Reviews Volume 28, 2008 - Issue 1-3
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Original Articles

Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Giovanni De Luca Department of Statistics and Mathematics for the Economic Research, University of Napoli Parthenope, Napoli, ItalyCorrespondence[email protected]
&
Giampiero M. Gallo Department of Statistics “G. Parenti”, University of Florence, Florence, Italy
Pages 102-120 | Published online: 23 Dec 2008

Citations (10)

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Read on this site (1)

R. P. Yatigammana, J. S. K. Chan & R. H. Gerlach. (2019) Forecasting trade durations via ACD models with mixture distributions. Quantitative Finance 19:12, pages 2051-2067.
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Articles from other publishers (9)

Francisco Blasques, Vladimír Holý & Petra Tomanová. (2023) Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. Studies in Nonlinear Dynamics & Econometrics 0:0.
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Jorge V. Pérez-Rodríguez, Emilio Gómez-Déniz & Simón Sosvilla-Rivero. (2021) Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. The Quarterly Review of Economics and Finance 79, pages 151-160.
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Zhongxian Men, Adam W. Kolkiewicz & Tony S. Wirjanto. (2019) Threshold Stochastic Conditional Duration Model for Financial Transaction Data. Journal of Risk and Financial Management 12:2, pages 88.
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Fabrizio Cipollini, Robert Engle & Giampiero Gallo. (2017) Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. Econometrics 5:2, pages 16.
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Giampiero M. Gallo & Edoardo Otranto. (2015) Forecasting realized volatility with changing average levels. International Journal of Forecasting 31:3, pages 620-634.
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Rabaa Karaa, Skander Slim & Dorra Mezzez Hmaied. 2014. Emerging Markets and the Global Economy. Emerging Markets and the Global Economy 179 200 .
Y.-T. Chen & C.-S. Hsieh. (2010) Generalized Moment Tests for Autoregressive Conditional Duration Models. Journal of Financial Econometrics 8:3, pages 345-391.
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Jorge Pérez Rodríguez, Emilio Gómez-Déniz & Simon Sosvilla-Rivero. (2019) Testing for Private Information Using Trade Duration Models with Unobserved Market Heterogeneity: The Case of Banco Popular. SSRN Electronic Journal.
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Giampiero M. Gallo & Edoardo Otranto. (2014) Forecasting Realized Volatility with Changes of Regimes. SSRN Electronic Journal.
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