IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data

  • Dingan Feng
Registered author(s):

    This article proposes stochastic conditional duration (SCD) models with "leverage effect" for financial transaction data, which extends both the autoregressive conditional duration (ACD) model (Engle and Russell, 1998, Econometrica, 66, 1127--1162) and the existing SCD model (Bauwens and Veredas, 2004, Journal of Econometrics, 119, 381--412). The proposed models belong to a class of linear nongaussian state-space models, where the observation equation for the duration process takes an additive form of a latent process and a noise term. The latent process is driven by an autoregressive component to characterize the transition property and a term associated with the observed duration. The inclusion of such a term allows the model to capture the asymmetric behavior or "leverage effect" of the expected duration. The Monte Carlo maximum-likelihood (MCML) method is employed for consistent and efficient parameter estimation with applications to the transaction data of IBM and other stocks. Our analysis suggests that trade intensity is correlated with stock return volatility and modeling the duration process with "leverage effect" can enhance the forecasting performance of intraday volatility. Copyright 2004, Oxford University Press.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://hdl.handle.net/10.1093/jjfinec/nbh016
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.

    Volume (Year): 2 (2004)
    Issue (Month): 3 ()
    Pages: 390-421

    as
    in new window

    Handle: RePEc:oup:jfinec:v:2:y:2004:i:3:p:390-421
    Contact details of provider: Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
    Fax: 01865 267 985
    Web page: http://jfec.oxfordjournals.org/
    Email:


    More information through EDIRC

    Order Information: Web: http://www.oup.co.uk/journals

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:2:y:2004:i:3:p:390-421. See general 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: (Oxford University Press)

    or (Christopher F. Baum)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.