Time-varying mixing weights in mixture autoregressive conditional duration models

Econometric Reviews

Volumn 28, Issue 1-3, 2009, Pages 102-120

  Luca, Giovanni De ^a   Gallo, Giampiero M ^b  

^a UNIVERSITY OF NAPLES PARTHENOPE   (Italy)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Autoregressive; Conditional Durations; Financial durations; Mixture of distributions; Time varying weights

Indexed keywords

EID: 58149132310     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930802387944     Document Type: Conference Paper

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