Luca, Giovanni De; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2005
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...
