Regime-switching Pareto distributions for ACD models. (English) Zbl 1157.62520
Summary: Refinements have been proposed for the autoregressive conditional duration model within the framework of financial durations. It is argued that a Pareto distribution is a meaningful representation for durations. The model is analyzed under the hypothesis of regime-switching parameters with different transition functions governed both by an observable and a latent variable.
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
Keywords:
autoregressive conditional duration; Markov-switching model; market microstructure; Pareto distributionReferences:
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