Refine
Year of publication
Document Type
- Working Paper (28)
- Report (15)
- Article (1)
- Part of a Book (1)
- Preprint (1)
Has Fulltext
- yes (46)
Is part of the Bibliography
- no (46)
Keywords
- Evaluation (9)
- financial transaction data (7)
- Deutschland (6)
- Arbeitsmarktpolitik (5)
- duration models (5)
- evaluation (5)
- matching (5)
- time series models (5)
- Matching (4)
- Schätzung (4)
- Börsenkurs (3)
- Exponential smoothing (3)
- Job Creation Schemes (3)
- Wirtschaftspolitische Wirkungsanalyse (3)
- Zeitreihenanalyse (3)
- difference-in-differences (3)
- discrete hazard models (3)
- market microstructure (3)
- selection bias (3)
- Active Labour Market Policy (2)
- Arbeitsbeschaffungsmaßnahme (2)
- Arbeitsbeschaffungsmaßnahmen (2)
- Arbeitsmarktstatistik (2)
- Arbeitsvermittlung (2)
- Bias (2)
- Heterogeneity (2)
- Makroökonomischer Einfluß (2)
- Markov switching models (2)
- Multiple Treatment (2)
- Netto-Effekte (2)
- Schätzfunktion (2)
- Schätztheorie (2)
- Voucher (2)
- Wertpapierhandel (2)
- Wertpapiermarkt (2)
- active labour market policy (2)
- airport impacts (2)
- approamixture models (2)
- finite mixture distributions (2)
- input-output models (2)
- interregional trade impact analysis (2)
- market micros (2)
- mixture models (2)
- nonlinear time series models (2)
- ACD (1)
- ARCH-Prozess (1)
- Active labour market policy (1)
- Aktienanalyse (1)
- Aktienbewertung (1)
- Arbeitsbeschaffung (1)
- Berufliche Integration (1)
- Beschäftigungseffekt (1)
- Beschäftigungspolitik (1)
- Beveridge Curve (1)
- Börsenzulassung (1)
- Deutschland / Arbeitsförderungsgesetz (1)
- Dynamic Panel Data (1)
- Dynamic Panel Data Model (1)
- EM algorithm (1)
- Effect Heterogeneity (1)
- Efficient Allocation (1)
- Employment Effects (1)
- Fernmeldewesen (1)
- Financial transaction data (1)
- Finanzanalyse (1)
- Fixed Effects (1)
- Forschung und Entwicklung (1)
- GARCH-Prozess (1)
- Going Public (1)
- Hamburg <2000> (1)
- Handelsvolumen (1)
- High Frequency Data in Finance (1)
- Innovation (1)
- Input-Output-Analyse (1)
- Intra Day (1)
- Kongress (1)
- Langzeitarbeitslosigkeit (1)
- Markov-Prozess (1)
- Methode (1)
- Mikrostrukturtheorie <Kapitalmarkttheorie> (1)
- Mikroökonomie (1)
- Monte Carlo simulation (1)
- Nichtlineare Analysis (1)
- Nichtparametrische Statistik (1)
- Nichtparametrisches Verfahren (1)
- R&D policy (1)
- Regionalanalyse (1)
- Seasonality of the Trading Process (1)
- Sectoral Heterogeneity (1)
- Serial Correlation (1)
- Simulation (1)
- Targeting (1)
- Technische Aktienanalyse (1)
- Telekommunikation (1)
- Telekommunikationswirtschaft (1)
- Transaction durations (1)
- Verweildauer (1)
- Volatilität (1)
- Wahrscheinlichkeitsverteilung (1)
- Wertpapieranalyse (1)
- Wertpapieremission (1)
- Wirkungsanalyse (1)
- Wissenschaft (1)
- autoregressive conditional duration (1)
- autoregressive conditional duration models (1)
- autoregressive conditional duration(ACD) models (1)
- beta kernel (1)
- boundary bias (1)
- demand side constraints of labour supply (1)
- duration analysis (1)
- dynamic panel data model (1)
- dynamic treatments (1)
- effect heterogeneity (1)
- financial transactions data (1)
- generalised tobit (1)
- initial public offering (1)
- innovation (1)
- instrumental variables (1)
- international comparison (1)
- job creation schemes (1)
- labour demand (1)
- labour markets in USA and FRG (1)
- liquidity (1)
- long-term unemployed (1)
- market entry study (1)
- market microstructure theory (1)
- matching function (1)
- matching methods (1)
- matching techniques (1)
- microeconometric evaluation (1)
- non-parametric methods (1)
- nonlinear time series (1)
- panel data (1)
- programme evaluation (1)
- search models (1)
- sensitivity analysis (1)
- trading intensity (1)
- training (1)
- treatment effect (1)
- vocational training (1)
- wage subsidies (1)
- Ökonometrie (1)
Institute
We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process, which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show, that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. Furthermore, we use the MSACD to test implications of a sequential trade model.