Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/152559 
Autor:innen: 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
ECB Working Paper No. 125
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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
Schlagwörter: 
Autoregressive Conditional Duration
Empirical Market
G14
GARCH
JEL classification codes C32
Ultra High Frequency Data
JEL: 
C32
G14
Dokumentart: 
Working Paper

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