ISIPTA'07: Proceedings of the Fifth International Symposium on Imprecise Probability: Theories and Applications

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Comparison of MSACD models

We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition, the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C22, C25, C41, G1

Unconditionality of orthogonal spline systems in H1H^1

We give a simple geometric characterization of knot sequences for which the corresponding orthonormal spline system of arbitrary order $k$ is an unconditional basis in the atomic Hardy space $H^1[0,1]$.Comment: 30 page