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 InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/136234.
Date of creation: 2004
Date of revision:
Publication status: Published in: Journal of econometrics (2004) v.119 n° 2,p.381-412
Other versions of this item:
- BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.:
- Ruiz, Esther, 1994. "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 63(1), pages 289-306, July.
- 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.
- 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.
- 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.
- Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
- 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).
- Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997.
"Stochastic Volatility Duration Models,"
97-46, Centre de Recherche en Economie et Statistique.
- 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.
- Gouriéroux, Christian & Jasiak, Joanna & Le Fol, Gaëlle, 1999.
"Intra-day market activity,"
Economics Papers from University Paris Dauphine
123456789/5478, Paris Dauphine University.
- 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.
- 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.
- repec:wop:humbsf:1999-50 is not listed on IDEAS
- repec:wop:humbsf:1999-21 is not listed on IDEAS
- repec:fth:inseep:9633 is not listed on IDEAS
- 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.
- Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(4), pages 371-89, October.
- Tom Doan, . "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.
- 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.
- 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).
- 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.
- Robert F. Engle, 1996.
"The Econometrics of Ultra-High Frequency Data,"
NBER Working Papers
5816, National Bureau of Economic Research, Inc.
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: (Benoit Pauwels).
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.