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NG, Wing Lon - Econometric Society - 2004

This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling the arrival process of buy and sell orders in a limit order book. The model contains two dynamic components to describe the observed clustering of durations and order types: a duration process to...

Persistent link: https://www.econbiz.de/10005130252

Statistical Models for High Frequency Security Prices

Oomen, Roel C.A. - Econometric Society - 2004

This article studies two extensions of the compound Poisson process with iid Gaussian innovations which are able to characterize important features of high frequency security prices. The first model explicitly accounts for the presence of the bid/ask spread encountered in price-driven markets....

Persistent link: https://www.econbiz.de/10005063597

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Distaso, Walter; Awartani, Basel; Corradi, Valentina - Econometric Society - 2004

frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In this paper we … estimating volatility using high frequency data, such a bias grows less than linearly in the number of intraday observatio …

Persistent link: https://www.econbiz.de/10005702555

Duration and Order Type Clusters

NG, Wing Lon - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005702575

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Awartani, Basel; Corradi, Valentina - Econometric Society - 2004

high frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In …

Persistent link: https://www.econbiz.de/10005702617

Competition between market-making Intermediaries

Loertscher, Simon - Econometric Society - 2004

We introduce capacity constrained competition between market-making intermediaries in a model in which agents can choose between trading with intermediaries, joining a search market or remaining inactive. Recently, market-making by a monopolistic intermediary has been analyzed by Rust and Hall...

Persistent link: https://www.econbiz.de/10005702658

Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas

Rengifo, Erick; Heinen, Andresas - Econometric Society - 2004

This paper introduces the Multivariate Autoregressive Conditional Poisson model to deal with issues of discreteness, overdispersion and both auto- and cross-correlation, arising with multivariate counts. We model counts with a double Poisson and assume that conditionally on past observations the...

Persistent link: https://www.econbiz.de/10005702735

Obsolescence of Durable Goods and Optimal Consumption

Stolyarov, Dmitriy; Stacchetti, Ennio - Econometric Society - 2004

in volatility of the US auto sales after the introduction of smaller foreign cars in the 1970s …

Persistent link: https://www.econbiz.de/10005328887

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Selcuk, Faruk - Econometric Society - 2004

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

Persistent link: https://www.econbiz.de/10005329008

Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China

Guangzhong, Li; Voon, Jan P - Econometric Society - 2004

Previous analytical models focused on the effects of the real exchange rate (RER) and the RER volatility on Chinese … dollar because the negative impacts of the revaluation, and its accompanying effects on the RER volatility, if any, on the …

Persistent link: https://www.econbiz.de/10005342171