caa a22 4500 378929801 CHVBK 20180305123626.0 cr unu---uuuuu 161128e20040518xx s 000 0 eng 10.2202/1558-3708.1223 doi (NATIONALLICENCE)gruyter-10.2202/1558-3708.1223 Mixture Processes for Financial Intradaily Durations [Elektronische Daten] [Giovanni De Luca, Giampiero M. Gallo] 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. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston De Luca Giovanni University of Naples, Italy, gdeluca@uninav.it aut Gallo Giampiero M. University of Florence, Italy aut Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/2(2004-05-18) 8:2 2004 8 snde https://doi.org/10.2202/1558-3708.1223 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1558-3708.1223 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- De Luca Giovanni University of Naples, Italy, gdeluca@uninav.it aut NATIONALLICENCE 700 1- Gallo Giampiero M. University of Florence, Italy aut NATIONALLICENCE 773 0- Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/2(2004-05-18) 8:2 2004 8 snde CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter