Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
Francisco Blasques,
Vladimír Holý,
Petra Tomanová
Abstract:In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either split transactions or independent transactions. We propose a discrete model allowing for excessive zero values based on the zero-inflated negative binomial distribution with score dynamics. This model allows to distinguish between the processes generating split and standard tran… Show more
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