Stochastic Conditional Duration Models with Mixture Processes

Posted: 31 Mar 2013 Last revised: 1 Jan 2015

See all articles by Tony S. Wirjanto

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Adam Kolkiewicz

Independent

Zhongxian Men

Independent

Date Written: December 31, 2014

Abstract

This paper studies stochastic conditional duration models with a mixture of distribution processes for financial asset's transaction data. The mixture component distributions include exponential, gamma and Weibull. The models allow for a correlation between the observed durations and the logarithm of the conditional expected durations. Suitable MCMC algorithms are developed for Bayesian inference of parameters and duration forecasting of the models. Unlike much of the existing studies in this literature, simulation studies and empirical applications suggest that the proposed models and method are able to t the left tail of the marginal distribution of duration time series relatively well.

Keywords: Stochastic conditional duration, Mixture of distributions, Bayesian inference, Markov Chain Monte Carlo, Leverage effect, Slice sampler

JEL Classification: C10, C11, C41, G10

Suggested Citation

Wirjanto, Tony S. and Kolkiewicz, Adam and Men, Zhongxian, Stochastic Conditional Duration Models with Mixture Processes (December 31, 2014). Available at SSRN: https://ssrn.com/abstract=2241089

Tony S. Wirjanto (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

Adam Kolkiewicz

Independent ( email )

Zhongxian Men

Independent ( email )

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
438
PlumX Metrics