Econometric analysis of financial trade processes by discrete mixture duration models
- We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.
Author: | Reinhard HujerGND, Sandra Vuletić |
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URN: | urn:nbn:de:hebis:30-21872 |
Document Type: | Report |
Language: | English |
Date of Publication (online): | 2005/11/21 |
Year of first Publication: | 2004 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2005/11/21 |
Tag: | duration models; financial transaction data; market microstructure; mixture models; time series models |
Issue: | Version: 18 Oktober 2004 |
Page Number: | 23 |
Source: | Version: 18 Oktober 2004 , http://much-magic.wiwi.uni-frankfurt.de/Professoren/hujer/sandra.html |
HeBIS-PPN: | 399361057 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Licence (German): | Deutsches Urheberrecht |