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An Empirical Model for Durations in Stocks

Author

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  • Simonsen, Ola

    (Department of Economics, Umeå University)

Abstract

This paper considers an extension of the univariate autoregressive conditional duration model to which durations from a second stock are added. The model is empirically used to study durations in two traded stocks, Ericsson B and AstraZeneca, on the Stockholm Stock Exchange. It is found that including durations from a second stock may add explanatory power to the univariate model. Ericsson B is Granger causing durations in AstraZeneca, while AstraZeneca is not Granger causing durations in Ericsson B. Volume, spread and trade intensity changes have significant effects for both series.

Suggested Citation

  • Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0657
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    References listed on IDEAS

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    Cited by:

    1. Simonsen, Ola, 2006. "The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden," Umeå Economic Studies 688, Umeå University, Department of Economics.
    2. Simonsen, Ola, 2006. "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies 689, Umeå University, Department of Economics.

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    More about this item

    Keywords

    multivariate; duration; transaction data; market microstructure;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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