Mixture Processes for Financial Intradaily Durations

Giovanni De Luca () and Giampiero Gallo ()

Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 2, 20

Abstract: The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1223 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.2202/1558-3708.1223

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().