Econometric analysis of financial trade processes by mixture duration models

@inproceedings{Hujer2004EconometricAO,
  title={Econometric analysis of financial trade processes by mixture duration models},
  author={Reinhard Hujer and Sandra Vuleti{\'c}},
  year={2004}
}
We propose a new framework for modelling the time dependence in duration processes. The well known ACD approach introduced by Engle and Russell (1998) will be extended so that an unobservable stochastic process accompanies the duration process. Our creation is called Mixture ACD model (MACD) which puts the conjunction into practice. It is a moderate tool for description of financial duration processes. The introduction of a latent regime variable can be justified in the light of recent market… CONTINUE READING

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