The Regime Switching Acd Framework: The Use of the Comprehensive Family of Distributions

24 Pages Posted: 5 Aug 2005

See all articles by Reinhard Hujer

Reinhard Hujer

University of Frankfurt; IZA Institute of Labor Economics

Sandra Vuletic

Johann Wolfgang Goethe University - University of Frankfurt

Date Written: July 2005

Abstract

In recent methodological work the well known autoregressive conditional duration approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies.

Keywords: Mixture models, duration models, financial transaction data

JEL Classification: C41, C22, C25, C51, G14

Suggested Citation

Hujer, Reinhard and Vuletic, Sandra, The Regime Switching Acd Framework: The Use of the Comprehensive Family of Distributions (July 2005). Available at SSRN: https://ssrn.com/abstract=766684 or http://dx.doi.org/10.2139/ssrn.766684

Reinhard Hujer

University of Frankfurt ( email )

Institute for Statistics and Econometrics
60054 Frankfurt
Germany
+49 798 23673 (Fax)

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Sandra Vuletic (Contact Author)

Johann Wolfgang Goethe University - University of Frankfurt ( email )

Institute for Statistics and Econometrics
Mertonstr. 17
60054 Frankfurt
Germany
+49 69 798 22893 (Phone)
+49 69 798 23673 (Fax)

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