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Mixture Processes for Financial Intradaily Durations

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2016Volatility-Related Exchange Traded Assets: An Econometric Investigation48 cited
2006

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Regime-switching Pareto distributions for ACD models

37 cited

2008Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models33 cited

2006Econometric analysis of financial trade processes by discrete mixture duration models32 cited

2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited

2018Asymptotic properties of the maximum likelihood estimator in regime switching econometric models20 cited