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...

In this paper we propose a portfolio selection procedure specifically designed to protect investments during financial crisis periods. To this aim, we focus attention on the lower tails of the returns distributions and use a combination of statistical tools able to take into account the joint...

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

Recently De Luca and Carfora (Statistica e Applicazioni 8:123–134, <CitationRef CitationID="CR5">2010</CitationRef>) have proposed a novel model for binary time series, the Binomial Heterogenous Autoregressive (BHAR) model, successfully applied for the analysis of the quarterly binary time series of U.S. recessions. In this work we want...</citationref>

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family is due to their ability to capture the tail dependence, which is an association measure we can detect in many bivariate financial time-series. A time-varying version of these...

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...