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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

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

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

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

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

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

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