Abstract

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of two exponential distributions a highly satisfactory fit can be obtained. The presence on financial markets of traders with different information sets makes reasonable the mixture assumption.

Recommended Citation

Giovanni De Luca and Giampiero M. Gallo (2004) "Mixture Processes for Financial Intradaily Durations", Studies in Nonlinear Dynamics & Econometrics: Vol. 8: No. 2, Article 8.
http://www.bepress.com/snde/vol8/iss2/art8

Related Files

deluca_datacode.zip (398 kB)
Data and code