Advanced Search
MyIDEAS: Login to save this paper or follow this series

On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach

Contents:

Author Info

  • VEREDAS, David
  • RODRIGUEZ-POO, Juan
  • ESPASA, Antoni

Abstract

A new method of estimating a component model for the analysis of financial durations is proposed. The components are long-run dynamics and seasonality. The latter is left unspecified and the former is assumed to fall within the class ofa certain family of parametric functions. The proposed estimation procedure is based on a generalized profile likelihood approach and requires the assumption either of a likelihood function for the model errors or, at least, that the errordensity belongs to the class of exponential densities. Its main interest is twofold: first, consistent and asymptotically normal estimators for both the parameters of the long-run stochastic component and the nonparametric curve that approximatesthe deterministic seasonal component are provided. Hence, it is possible to derive correct inference for both parametric and nonparametric components. Second, the method is computationally very appealing since the resulting nonparametricestimator of the seasonal curve has an explicit form that turns out to be a transformation of the Nadaraya-Watson estimator. The method is applied to price and volume durations of a stock traded at the NYSE, and compared to estimation with splines and with adjustment methods. It is shown that the proposed method outperforms the other methods.

Download Info

If 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.
File URL: http://alfresco.uclouvain.be/alfresco/download/attach/workspace/SpacesStore/badc66c5-4a15-4a35-bf5e-a520d2bdccaa/coredp_2002_23.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2002023.

as in new window
Length:
Date of creation: 00 Apr 2002
Date of revision:
Handle: RePEc:cor:louvco:2002023

Contact details of provider:
Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)
Phone: 32(10)474321
Fax: +32 10474304
Email:
Web page: http://www.uclouvain.be/core
More information through EDIRC

Related research

Keywords: Tick-by-tick; ACD model; seasonal analysis; nonparametric method;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
  2. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
  3. WEI, Steven X., 1997. "A Bayesian approach to dynamic Tobit models," CORE Discussion Papers 1997081, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc.
  5. Cox, Dennis D. & Kim, Tae Yoon, 1995. "Moment bounds for mixing random variables useful in nonparametric function estimation," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 151-158, March.
  6. Mullahy, John, 1986. "Specification and testing of some modified count data models," Journal of Econometrics, Elsevier, vol. 33(3), pages 341-365, December.
  7. Feike C. Drost & Bas J. M. Werker, 2000. "Efficient Estimation in Semiparametric Time Series: the ACD Model," Econometric Society World Congress 2000 Contributed Papers 0836, Econometric Society.
  8. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
  9. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  10. Frank Gerhard & Nikolaus Hautsch, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Paper 99-19, Center of Finance and Econometrics, University of Konstanz.
  11. 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.
  12. Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 383-408, September.
  13. Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-43, September.
  14. Rombouts, Jeroen V. K. & Bauwens, Luc, 2004. "Econometrics," Papers 2004,33, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  15. Andersen, Torben G & Bollerslev, Tim, 1997. " Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
  16. Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August.
  17. Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
  18. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
  19. 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.
  20. Ghysels, Eric, 2000. "Some Econometric Recipes for High-Frequency Data Cooking," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 154-63, April.
  21. Richard Payne, 1996. "Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market," FMG Discussion Papers dp238, Financial Markets Group.
  22. repec:wop:humbsf:1999-50 is not listed on IDEAS
  23. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, 02.
  24. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
  25. repec:fth:louvco:9958 is not listed on IDEAS
  26. Baillie, R.T. & Bollerslev, T., 1989. "Intra Day And Inter Market Volatility In Foreign Exchange Rates," Papers 8811, Michigan State - Econometrics and Economic Theory.
  27. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
  28. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June.
  29. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  30. repec:fth:louvco:9781 is not listed on IDEAS
  31. Beltratti, Andrea & Morana, Claudio, 1999. "Computing value at risk with high frequency data," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 431-455, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
  2. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
  3. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
  4. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz.
  5. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
  6. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cor:louvco:2002023. See general 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.