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The dynamic mixed hitting-time model for multiple transaction prices and times
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Renault, Eric, van der Heijden, Thijs and Werker, Bas J.M. (2014) The dynamic mixed hitting-time model for multiple transaction prices and times. Journal of Econometrics, 180 (2). pp. 233-250. doi:10.1016/j.jeconom.2014.01.009 ISSN 03044076.
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Official URL: http://dx.doi.org/10.1016/j.jeconom.2014.01.009
Abstract
We propose a structural model for durations between events and (a vector of) associated marks, using a multivariate Brownian motion. Successive passage times of one latent Brownian component relative to random boundaries define durations. The other, correlated, Brownian components generate the marks. Our model embeds the class of stochastic conditional (SCD) and autoregressive conditional (ACD) duration models, which impose testable restrictions on the relation between the conditional expectation and conditional volatility of durations. We strongly reject the SCD and ACD specifications for both a very liquid and less liquid NYSE-traded stock, and characterize causality relations between volatilities and durations.
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Economics | ||||||||
Journal or Publication Title: | Journal of Econometrics | ||||||||
Publisher: | Elsevier | ||||||||
ISSN: | 03044076 | ||||||||
Official Date: | June 2014 | ||||||||
Dates: |
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Volume: | 180 | ||||||||
Number: | 2 | ||||||||
Page Range: | pp. 233-250 | ||||||||
DOI: | 10.1016/j.jeconom.2014.01.009 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access |
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