Mixture Processes for Financial Intradaily Durations

By G. De Luca, Giampiero M. Gallo. 2004

56 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7026b763de12511bb732568004179f85eaeea004

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1. Maria Pacurar

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Citations in the corpus

• Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (2010, unknown): “In an MEM context, De Luca and Gallo (2004) or Lanne (2006) employ mixtures of continuous distributions which are typically motivated by economic arguments, such as trader heterogeneity.”
• Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “Bauwens and Veredas (2004) and De Luca and Gallo (2004) use QQ-plots to check the distribution assumptions while Prigent et al. (2001) employ Bartlett identity tests.”