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Some statistical models for durations and an application to News Corporation stock prices

Author

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  • Peiris, Shelton
  • Allen, David
  • Yang, Wenling

Abstract

This paper considers a new class of time series models called autoregressive conditional duration (ACD) models. These models have been developed and applied to investigate the price discovery process in the context of financial markets. The various statistical properties of this class of ACD models are examined. A minimum mean square error (MMSE) forecast function is obtained as it plays an important role in many practical applications. The theory and utilisation of these models are illustrated using a potential application based on a sample of high frequency transactions based stock price data for News Corporation.

Suggested Citation

  • Peiris, Shelton & Allen, David & Yang, Wenling, 2005. "Some statistical models for durations and an application to News Corporation stock prices," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 545-552.
    • Handle: RePEc:eee:matcom:v:68:y:2005:i:5:p:545-552
    DOI: 10.1016/j.matcom.2005.02.005
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    References listed on IDEAS

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    1. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    2. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
    3. Easley, David & O'Hara, Maureen, 1992. "Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
    4. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Autoregressive; Conditional expectation; Intensity; Hazard function; Stochastic process;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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