TY - UNPD A1 - Hujer, Reinhard A1 - Vuletić, Sandra A1 - Kokot, Stefan T1 - The Markov switching ACD model T2 - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 90 N2 - We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process, which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show, that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. Furthermore, we use the MSACD to test implications of a sequential trade model. T3 - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 90 KW - Exponential smoothing KW - Zeitreihenanalyse KW - Verweildauer KW - ARCH-Prozess KW - GARCH-Prozess KW - Markov-Prozess KW - Wertpapierhandel KW - Wertpapiermarkt KW - Mikrostrukturtheorie KW - Schätzung KW - financial transaction data KW - autoregressive conditional duration models KW - nonlinear time series models KW - finite mixture distributions KW - Markov switching models KW - EM algorithm KW - market microstructure theory Y1 - 2002 UR - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3650 UR - https://nbn-resolving.org/urn:nbn:de:hebis:30-18308 IS - April 2002 PB - Univ., Fachbereich Wirtschaftswiss. CY - Frankfurt am Main ER -