The stochastic conditional duration model: a latent factor model for the analysis of financial durations
AbstractA new model for the analysis of durations, the stochastic conditional duration (SCD) model, is introduced. This model is based of the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The latent factor is pertubed multiplicatively by an innovation distributed as aWeibull or gamma variable. The model can capture a wide range of shapes of hazard functions. The estimation of the parameters is performed by quasi-maximum likelihood, after transforming the original nonlinear model into a space state representation and using the Kalman filter. The model is applied to stock market price-durations, looking at the relation between price durations, volume, spread and trading intensity.
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 InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1999058.
Date of creation: 01 Nov 1999
Date of revision:
Contact details of provider:
Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)
Fax: +32 10474304
Web page: http://www.uclouvain.be/core
More information through EDIRC
Duration; High frequency data; Market microstucture; Factor model.;
Other versions of this item:
- Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository 2013/136234, ULB -- Universite Libre de Bruxelles.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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.:
- Luc Bauwens & Pierre Giot, 2003.
"Asymmetric ACD models: Introducing price information in ACD models,"
Springer, vol. 28(4), pages 709-731, November.
- 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).
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 69-87, January.
- Russell, Jeffrey & Engle, Robert F, 1998.
"Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model,"
University of California at San Diego, Economics Working Paper Series
qt00m2c5hk, Department of Economics, UC San Diego.
- Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," CRSP working papers 470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
- Luc BAUWENS & Pierre GIOT, 2000.
"The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks,"
Annales d'Economie et de Statistique,
ENSAE, issue 60, pages 117-149.
- BAUWENS, Luc & GIOT, Pierre, . "The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks," CORE Discussion Papers RP -1497, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- J. Grammig & K. Maurer, 1999. "Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model," SFB 373 Discussion Papers 1999,50, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Ghysels Eric & Jasiak Joanna, 1998. "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(4), pages 1-19, January.
- Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999.
"Intra-day market activity,"
Journal of Financial Markets,
Elsevier, vol. 2(3), pages 193-226, August.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
- repec:fth:inseep:9633 is not listed on IDEAS
- Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994.
"Multivariate Stochastic Variance Models,"
Review of Economic Studies,
Wiley Blackwell, vol. 61(2), pages 247-64, April.
- Tom Doan, . "RATS programs to estimate multivariate stochastic volatility models," Statistical Software Components RTZ00093, Boston College Department of Economics.
- Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997.
"Stochastic Volatility Duration Models,"
97-46, Centre de Recherche en Economie et Statistique.
- Grammig, Joachim & Wellner, Marc, 1999. "Modeling the interdependence of volatility and inter-transaction duration processes," SFB 373 Discussion Papers 1999,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Ruiz, Esther, 1994. "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 63(1), pages 289-306, July.
- Joachim Grammig & Kai-Oliver Maurer, 2000. "Non-monotonic hazard functions and the autoregressive conditional duration model," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 16-38.
- Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
- Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
- Robert F. Engle, 2000.
"The Econometrics of Ultra-High Frequency Data,"
Econometric Society, vol. 68(1), pages 1-22, January.
- repec:wop:humbsf:1999-50 is not listed on IDEAS
- Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
- repec:wop:humbsf:1999-21 is not listed on IDEAS
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS).
If references are entirely missing, you can add them using this form.