Regime-switching Pareto distributions for ACD models

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2179-2191

  De Luca, Giovanni ^a   Zuccolotto, Paola ^b  

^a UNIVERSITY OF NAPLES PARTHENOPE   (Italy)

^b UNIVERSITY OF BRESCIA   (Italy)

Author keywords

Autoregressive conditional duration; Market microstructure; Markov switching model; Pareto distribution

Indexed keywords

FUNCTIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS;

AUTOREGRESSIVE CONDITIONAL DURATION; MARKET MICROSTRUCTURE; MARKOV-SWITCHING MODELS; PARETO DISTRIBUTION;

REGRESSION ANALYSIS;

EID: 33750984192     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.08.019     Document Type: Article

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