This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A Comparison of Financial Duration Models via Density Forecasts

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Luc Bauwens (Universite Catholique de Louvain)
Pierre Giot (Universite Catholique de Louvain)
Joachim Grammig (University of Frankfurt)
David Veredas (Universite Catholique de Louvain)

Additional information is available for the following registered author(s):

Abstract

Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. The compared models are the autoregressive conditional duration (ACD) models, their logarithmic versions, in each case with three distributions (Burr, Weibull, and exponential), and the stochastic volatility duration (SVD) model. A pilot Monte Carlo study is conducted to illustrate the relevance of the approach. The evaluation is done on transaction, price, and volume durations of 4 stocks listed at the NYSE. The results lead us to conclude that ACD and Log-ACD models often capture the dependence in the data in a satisfactory way, that they fit correctly the distribution of volume durations, that they fail to do so for trade durations, while the evidence is mixed for price durations.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://fmwww.bc.edu/RePEc/es2000/0810.pdf
File Format: application/pdf
File Function: main text
Download Restriction: no

Publisher Info
Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0810.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 01 Aug 2000
Date of revision:
Handle: RePEc:ecm:wc2000:0810

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

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.:
  1. Giot, P., 1999. "Time Transformations, Intraday Data and Volatility Models," Papers 9944, Catholique de Louvain - Center for Operations Research and Economics.
  2. C. W.J. Granger & M. Hashem Pesaran, 1996. "A Decision Theoretic Approach to Forecast Evaluation," University of California at San Diego, Economics Working Paper Series 96-23, Department of Economics, UC San Diego.
    Other versions:
  3. Bauwens, L. & Veredas, D., 1999. "The Stochastic Conditional Duration Model: a Latent Factor Model for the Analysis of Financial Durations," Papers 9958, Catholique de Louvain - Center for Operations Research and Economics.
  4. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April. [Downloadable!] (restricted)
  5. 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.
    Other versions:
  6. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August. [Downloadable!] (restricted)
    Other versions:
    • Gourieroux, C. & Jasiak, J. & Le Fol, G., 1996. "Intra-Day Market Activity," Papers 9633, Institut National de la Statistique et des Etudes Economiques-.
  7. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    Other versions:
  8. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Gourieroux, C. & Jasiak, J., 1999. "Dynamic Factor Models," Papers 9908, Institut National de la Statistique et des Etudes Economiques-.
    Other versions:
  10. 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. [Downloadable!]
Full references

Cited by:
(explanations, 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.)

  1. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
  2. Frank Gerhard & Nikolaus Hautsch, 2007. "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2), pages 1377-1377. [Downloadable!] (restricted)
    Other versions:
  3. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
  4. Joachim Grammig & Marcelo Fernandes, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  5. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    Other versions:
  6. Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004. [Downloadable!]
    Other versions:
  7. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
  8. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute. [Downloadable!]
    Other versions:
  9. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
  10. 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. [Downloadable!]
  11. David Veredas & Juan M. Rodríguez-Poo & Antoni Espasa, 2001. "On The (Intradaily) Seasonality And Dynamics Of A Financial Point Process: A Semiparametric Approach," Statistics and Econometrics Working Papers ws013321, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    Other versions:
  12. Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455. [Downloadable!]
  13. Nikolaus Hautsch, 2006. "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers 2006/06, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  14. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]
  15. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CIRJE F-Series CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  16. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," UmeÃ¥ Economic Studies 657, Umeå University, Department of Economics. [Downloadable!]
Statistics
Access and download statistics

Did you know? RePEc encourages publishers to make their bibliographic data freely available to the public.

This page was last updated on 2008-10-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.