TY  - RPRT
A1  - Hujer, Reinhard
A1  - Kokot, Stefan
A1  - Vuletić, Sandra
T1  - Modeling the trading process on financial markets using the MSACD model
N2  - We propose a new framework for modeling time dependence in duration processes. The ACD approach introduced by Engle and Russell (1998) will be extended so that the conditional expectation of the durations depends on an unobservable stochastic process which is modeled via a Markov chain. The Markov switching ACD model (MSACD) is a flexible tool for description of financial duration processes. The introduction of a latent information 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 specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C41, C22, C25, C51, G14
KW  - duration models
KW  - time series models
KW  - Markov switching models
KW  - financial transaction data
KW  - market microstructure
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3216
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-21832
ER  -