Giovanni De Luca

Universita' di Napoli Parthenope

Napoli

Italy

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Scholarly Papers (1)

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Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Universita' di Firenze Working Paper No. 2005-11
Number of pages: 29 Posted: 29 Mar 2006
Giampiero M. Gallo and Giovanni De Luca
Corte dei Conti - Italian Court of Audits and Universita' di Napoli Parthenope
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Abstract:

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Market microstructure, ACD models, Exponential mixtures, Price durations