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An Empirical Model for Durations in Stocks

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Author Info
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.

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Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 657.

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Length: 23 pages
Date of creation: 05 Apr 2005
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Handle: RePEc:hhs:umnees:0657

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
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Web page: http://www.econ.umu.se/
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Related research
Keywords: multivariate; duration; transaction data; market microstructure;

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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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. Brännäs, Kurt & Simonsen, Ola, 2003. "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," UmeÃ¥ Economic Studies 610, Umeå University, Department of Economics.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  4. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," CORE Discussion Papers 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  5. 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.
  6. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 159-188.
    Other versions:
  7. 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. [Downloadable!]
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  8. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  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. 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. [Downloadable!] (restricted)
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  11. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O. van, 2002. "Modeling comovements in trading intensities to distinguish sector and stock specific news," Discussion Paper 69, Tilburg University, Center for Economic Research. [Downloadable!]
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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. Simonsen, Ola, 2006. "The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden," UmeÃ¥ Economic Studies 688, Umeå University, Department of Economics. [Downloadable!]
  2. Simonsen, Ola, 2006. "Stock Data, Trade Durations, And Limit Order Book Information," UmeÃ¥ Economic Studies 689, Umeå University, Department of Economics. [Downloadable!]
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