An Improved Stochastic Conditional Duration Model

摘要：

This paper proposes an improved version of stochastic conditional duration model, which is used to analyze the dynamics of the intra-daily trading activity of financial markets, and a novel estimation methodology for the model. The model imposes mixtures of bivariate normal distribution family on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture the asymmetric behavior of the expected duration but also to easily accommodate a rich set of dependence structures between the two innovations. A simple Monte Carlo study is conducted to assess the performance of the proposed model and estimation method, and an empirical illustration of the model and estimation method is provided with the IBM transaction data.

关键词： stochastic conditional duration model discrete mixtures of normal distribution empirical characteristic function

作者: Dinghai Xu Tony S. Wirjanto

作者单位: Department of Economics,University of Waterloo,Waterloo,Ontario,N2L 3G1

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-30

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）