An Empirical Model for Durations in Stocks

Ola Simonsen ()
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Ola Simonsen: Department of Economics, Umeå University, Postal: Umeå University, S 901 87 Umeå, Sweden

No 657, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: 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 durations in two traded stocks, Ericsson B and AstraZeneca, on the Stockholm Stock Exchange. It is found that including durations from a second stock may add explanatory power to the univariate model. Ericsson B is Granger causing durations in AstraZeneca, while AstraZeneca is not Granger causing durations in Ericsson B. Volume, spread and trade intensity changes have significant effects for both series.

Keywords: multivariate; duration; transaction data; market microstructure (search for similar items in EconPapers)
JEL-codes: C12 C32 C41 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-fin
Date: 2005-04-05
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