The dynamic mixed hitting-time model for multiple transaction prices and times

E. Renault, T.G.E. van der Heijden, B.J.M. Werker

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We propose a structural model for durations between events and (a vector of) associated marks, using a multivariate Brownian motion. Successive passage times of one latent Brownian component relative to random boundaries define durations. The other, correlated, Brownian components generate the marks. Our model embeds the class of stochastic conditional (SCD) and autoregressive conditional (ACD) duration models, which impose testable restrictions on the relation between the conditional expectation and conditional volatility of durations. We strongly reject the SCD and ACD specifications for both a very liquid and less liquid NYSE-traded stock, and characterize causality relations between volatilities and durations.
Original languageEnglish
Pages (from-to)233-250
JournalJournal of Econometrics
Volume180
Issue number2
DOIs
Publication statusPublished - Jun 2014

Fingerprint

Transaction price
Autoregressive conditional duration model
Causality
Conditional expectation
Structural model
Conditional volatility
Brownian motion
New York Stock Exchange

Keywords

  • duration modeling
  • hitting time
  • trading intensity
  • market microstructure

Cite this

Renault, E. ; van der Heijden, T.G.E. ; Werker, B.J.M. / The dynamic mixed hitting-time model for multiple transaction prices and times. In: Journal of Econometrics. 2014 ; Vol. 180, No. 2. pp. 233-250.
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The dynamic mixed hitting-time model for multiple transaction prices and times. / Renault, E.; van der Heijden, T.G.E.; Werker, B.J.M.

In: Journal of Econometrics, Vol. 180, No. 2, 06.2014, p. 233-250.

Research output: Contribution to journalArticleScientificpeer-review

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AU - Werker, B.J.M.

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KW - hitting time

KW - trading intensity

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