Article2004

Mixture Processes for Financial Intradaily Durations

Giovanni De Luca · Giampiero Maria Gallo

53 citations0/0 files storedStudies in Nonlinear Dynamics and Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

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 two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.

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References

2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2001An Introduction to High-Frequency Finance 1994Business-Cycle Phases and Their Transitional Dynamics 2001Modeling and Forecasting Realized Volatility n.d.The econometrics of ultra-high frequency data /2002New frontiers for arch models 2001A nonlinear autoregressive conditional duration model with applications to financial transaction data

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