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Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO

Author

Listed:
  • Hujer Reinhard

    (Institute for Statistics and Econometrics, Faculty of Economics and Business Administration, Johann Wolfgang Goethe-University, Mertonstr. 17, D-60054 Frankfurt)

  • Grammig Joachim

    (Institute for Statistics and Econometrics, Faculty of Economics and Business Administration, Johann Wolfgang Goethe-University, Mertonstr. 17, D-60054 Frankfurt)

  • Kokot Stefan

    (Institute for Statistics and Econometrics, Faculty of Economics and Business Administration, Johann Wolfgang Goethe-University, Mertonstr. 17, D-60054 Frankfurt)

Abstract

We apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay (1999) to model the after market trading duration process associated with the initial public offering of the Deutsche Telekom AG share in November of 1996. Special emphasis is devoted to the empirical specification of intra-day seasonality and to the detection of non-stationarity and structural breaks in the trading process.

Suggested Citation

  • Hujer Reinhard & Grammig Joachim & Kokot Stefan, 2000. "Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 220(6), pages 689-714, December.
    • Handle: RePEc:jns:jbstat:v:220:y:2000:i:6:p:689-714
    DOI: 10.1515/jbnst-2000-0606
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