Regime-switching pareto distributions for ACD models
Refinements have been proposed for the autoregressive conditional duration model within the framework of financial durations. It is argued that a Pareto distribution is a meaningful representation for durations. The model is analyzed under the hypothesis of regime-switching parameters with different transition functions governed both by an observable and a latent variable. (c) 2006 Elsevier B.V. All rights reserved.
pareto distribution autoregressive conditional duration markov-switching model market microstructure