Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/61742 
Erscheinungsjahr: 
1999
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 1999,21
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this hypothesis.
Schlagwörter: 
Inter-transaction duration and volatility
financial market microstructure
ultrahigh frequency data
autoregressive conditional duration
JEL: 
C32
C41
C51
G14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
314.36 kB





Publikationen in EconStor sind urheberrechtlich geschützt.