The Markov Switching ACD Model (original) (raw)
2000, SSRN Electronic Journal
AI-generated Abstract
The Markov Switching ACD Model offers a dual regime switching mechanism for analyzing conditional duration data, accommodating for abrupt changes in underlying economic conditions. Through a detailed theoretical framework and empirical analysis, the model captures various dynamics of active and inactive states in time series data, enhancing the precision of forecasts and providing insights into temporal dependencies. This study highlights the model's effectiveness in different applications, paving the way for future research in duration modeling.
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