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Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News

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  • Spierdijk, L.

    (Tilburg University, School of Economics and Management)

  • Nijman, T.E.

    (Tilburg University, School of Economics and Management)

  • van Soest, A.H.O.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002. "Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News," Other publications TiSEM 2d40059c-bb27-40ee-b214-a, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:2d40059c-bb27-40ee-b214-ae3e2ade8162
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    References listed on IDEAS

    as
    1. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Other publications TiSEM d495caf0-2f2a-425f-8e50-e, Tilburg University, School of Economics and Management.
    2. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    3. 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.
    4. repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
    5. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    6. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
    7. 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.
    8. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Discussion Paper 2002-30, Tilburg University, Center for Economic Research.
    9. 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.
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    Cited by:

    1. Bowsher, Clive G., 2007. "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, vol. 141(2), pages 876-912, December.
    2. Clive Bowsher, 2004. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Model," Economics Series Working Papers 2003-W03, University of Oxford, Department of Economics.
    3. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
    4. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March.

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