Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach
AbstractThis paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture various density shapes of the durations but also to easily accommodate a richer dependence structure between the two innovations. In addition, it applies an estimation methodology based on the empirical characteristic function. Empirical applications based on the IBM and Boeing transaction data are provided to assess and illustrate the performance of the proposed model and the estimation method. One interesting empirical finding in this paper is that there is a significantly positive correlation under both the contemporaneous and lagged intertemporal dependence structures for the IBM and Boeing duration data. Copyright The Author 2011. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: email@example.com, Oxford University Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.
Volume (Year): 9 (2011)
Issue (Month): 3 (Summer)
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://jfec.oxfordjournals.org/
More information through EDIRC
Other versions of this item:
- Dinghai Xu & John Knight & Tony S. Wirjanto, 2008. "Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"," Working Papers 08007, University of Waterloo, Department of Economics.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John L. Knight & Stephen E. Satchell & Jun Yu, 2002. "Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 44(3), pages 319-335, 09.
- BAUWENS, Luc & VEREDAS, David, .
"The stochastic conditional duration model: a latent variable model for the analysis of financial durations,"
CORE Discussion Papers RP
-1688, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
- BAUWENS, Luc & GIOT, Pierre, .
"Asymmetric ACD models: Introducing price information in ACD models,"
CORE Discussion Papers RP
-1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
- Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June.
- Chris M. Strickland & Catherine S. Forbes & Gael M. Martin, 2003.
"Bayesian Analysis of the Stochastic Conditional Duration Model,"
Monash Econometrics and Business Statistics Working Papers
14/03, Monash University, Department of Econometrics and Business Statistics.
- Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
- Jun Yu, 2004.
"On leverage in a stochastic volatility model,"
Econometric Society 2004 Far Eastern Meetings
497, Econometric Society.
- John Knight & Cathy Q. Ning, 2008. "Estimation of the stochastic conditional duration model via alternative methods," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 593-616, November.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2013. "Bayesian Inference of Asymmetric Stochastic Conditional Duration Models," Working Paper Series 28_13, The Rimini Centre for Economic Analysis.
- Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
- Tony S. Wirjanto & Adam W. Kolkiewicz & Zhongxian Men, 2013. "Stochastic Conditional Duration Models with Mixture Processes," Working Paper Series 29_13, The Rimini Centre for Economic Analysis.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.