In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...

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...

Bivariate duration data frequently arise in economics, biostatistics and other areas. In bivariate frailty models, dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Using filtering techniques, spectral analysis, and Markov chain models, I document trends and cycles of factors have significantly changed over the period to December 2000 compared to the period post-January 2001. The recent weaker performance of value in the 21st century, including the value...

Previous studies of dual agency, where one agent serves both buyer and seller in a transaction, use hedonic models. Repeat-sale methods can test for the price effect of accepting dual agency. Dual agency does not show convincing effects on expected gain, which would occur if there was a...

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...

We empirically investigate the effect of option listing on the underlying stock efficiency by examining the stock price duration dynamic and the informed trading activity around option listing. We use univariate tests and extended Log-ACD models that account for liquidity. Despite a significant...

We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation of underlying stock. We use a time- consistent bivariate VAR (Vector Autoregressive Regression) model that includes time duration between trades. This model...