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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...
Persistent link: https://www.econbiz.de/10005459052
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...
Persistent link: https://www.econbiz.de/10004966182
Financial market price formation and exchange activity can be investigated by means of ultra-high frequency data. In this article, we investigate an extension of the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998) by adopting a mixture of distribution approach with...
Persistent link: https://www.econbiz.de/10005644460