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Econometric analysis of financial trade processes by discrete mixture duration models
2007
Journal of Economic Dynamics and Control
We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be
doi:10.1016/j.jedc.2005.09.015
fatcat:rhfrg32csfad7im7tocr6yeuxy