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An empirical model for durations in stocks

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  • Ola Simonsen

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  • Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March.
    • Handle: RePEc:kap:annfin:v:3:y:2007:i:2:p:241-255
    DOI: 10.1007/s10436-006-0048-9
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. 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.
    3. 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.
    4. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," LIDAM Discussion Papers CORE 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002. "Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News," Discussion Paper 2002-69, Tilburg University, Center for Economic Research.
    6. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    7. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annals of Economics and Statistics, GENES, issue 60, pages 117-149.
    8. repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
    9. 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.
    10. Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
    11. 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.
    12. GRAMMIG , Joachim & WELLNER, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," LIDAM Reprints CORE 1534, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    13. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    14. 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.
    15. Rombouts, Jeroen V. K. & Bauwens, Luc, 2004. "Econometrics," Papers 2004,33, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
      • BAUWENS, Luc & ROMBOUTS, Jeroen V.K., 2004. "Econometrics," LIDAM Reprints CORE 1713, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. repec:adr:anecst:y:2000:i:60:p:09 is not listed on IDEAS
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    Cited by:

    1. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.

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    More about this item

    Keywords

    Finance; Multivariate; Transaction data; Market microstructure; Granger causality; C12; C32; C41; G14;
    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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