TY  - RPRT
A1  - Hujer, Reinhard
A1  - Vuletić, Sandra
T1  - The use of the comprehensive family of distributions for the regime switching ACD framework
N2  - In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14.
KW  - duration models
KW  - time series models
KW  - approamixture models
KW  - financial transaction data
KW  - market micros
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3219
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-21866
IS  - Version: 12 January 2005
ER  -