TY  - RPRT
A1  - Hujer, Reinhard
A1  - Vuletić, Sandra
T1  - Econometric analysis of financial trade processes by discrete mixture duration models
N2  - We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.
KW  - duration models
KW  - time series models
KW  - mixture models
KW  - financial transaction data
KW  - market microstructure
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3220
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-21872
IS  - Version: 18 Oktober 2004
ER  -