An Empirical Model for Durations in Stocks
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Simonsen, Ola, 2006. "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies 689, Umeå University, Department of Economics.
More about this item
Keywordsmultivariate; duration; transaction data; market microstructure;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-CFN-2005-04-16 (Corporate Finance)
- NEP-FIN-2005-04-16 (Finance)
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