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Advances in economics and econometrics ; Vol. 2

Blundell, Richard W. (contributor); … - 2006 - 1. publ.

Persistent link: https://www.econbiz.de/10003423706

Statistical Models for High Frequency Security Prices

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

, time variation in market activity both at high and low frequency. The current framework also allows for a detailed … non-constant trade intensity, ``business'' time sampling maximizes the bias but achieves the lowest overall MSE …

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

It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

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

Duration and Order Type Clusters

NG, Wing Lon - Econometric Society - 2004

clustering of durations and order types: a duration process to capture the time structure, combined with a new "Autoregressive …

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

It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

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

to the study of sector and stock specific news related to the comovements in the number of trades per unit of time of the …

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

Duration and Order Type Clusters

NG, Wing Lon - Econometric Society - 2004

clustering of durations and order types: a duration process to capture the time structure, combined with a new "Autoregressive …

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

Precautionary Bidding in a Dynamic Model of Discrete Noncooperative Entry Deterrence

Varma, Gopal Das - Econometric Society - 2004

We consider competitive bidding for a business license, via an open ascending-price auction, between two symmetric …

Persistent link: https://www.econbiz.de/10005342186

The Effect of Cross Ownership on Competition in Auction Markets

Waehrer, Keith; Greenlee, Patrick - Econometric Society - 2004

We consider a model where bidders in an auction own passive partial claims over their rivals’ auction profits. While …-value auction, we find that such cross ownership has an effect similar to reducing the number of bidders while holding constant the … distribution of the highest value in the auction. A similar decrease in competition occurs in independent private-value second …

Persistent link: https://www.econbiz.de/10005329010