Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152559
Authors: 
Manganelli, Simone
Year of Publication: 
2002
Series/Report no.: 
ECB Working Paper 125
Abstract: 
This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an econometric reduced form that incorporates causal and feedback effects among these variables. We construct impulse-response functions that show how the system reacts to a perturbation of its long-run equilibrium. The methodology is applied to two groups of stocks from NYSE, classified according to their trade intensity. We document how the two groups of stocks are characterised by different dynamics: 1) volume is more persistent for frequently traded stocks than for the infrequently traded ones; 2) the well-known positive relationship between volume and price variability holds only for the frequently traded stocks at the ultra high frequency level; 3) the trade arrival process can be considered exogenous only for the not frequently traded stocks; 4) the more frequently traded the stock, the faster the market returns to its full information equilibrium after a perturbation
Subjects: 
Autoregressive Conditional Duration
Empirical Market
G14
GARCH
JEL classification codes C32
Ultra High Frequency Data
JEL: 
C32
G14
Document Type: 
Working Paper

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