An empirical model for durations in stocks
2007 (English)In: Annals of Finance, ISSN 1614-2446, Vol. 3, no 2, 241-255 p.Article in journal (Refereed) Published
This paper considers an extension of the univariate autoregressive conditional duration model to which durations from a second stock are added. The model is empirically used to study duration dependence in four traded stocks, Nordea, Föreningssparbanken, Handelsbanken and SEB A on the Stockholm Stock Exchange. The stocks are all active in the banking sector. It is found that including durations from a second stock may add explanatory power to the univariate model. We also find that spread changes have significant effect for all series.
Place, publisher, year, edition, pages
Berlin / Heidelberg: Springer , 2007. Vol. 3, no 2, 241-255 p.
Finance, Multivariate, Transaction data, Market microstructure, Granger causality
Research subject Economics
IdentifiersURN: urn:nbn:se:umu:diva-5234DOI: 10.1007/s10436-006-0048-9OAI: oai:DiVA.org:umu-5234DiVA: diva2:144685