EconPapers    
Economics at your fingertips  
 

Modeling the contemporaneous duration dependence for high-frequency stock prices

Ba Chu and Marcel Voia

Finance Research Letters, 2010, vol. 7, issue 3, 148-162

Abstract: This paper proposes a novel copula approach to model the contemporaneous duration dependence for high-frequency (HF) stock prices via the bivariate hazard function. This method is useful in understanding the mechanism through which the prices of financial assets jointly adjust to reflect new information. In the empirical analysis, we use the HF data on the APPLE and IBM stocks to illustrate the feasibility of our approach. In brief, the main findings are as follows: (1) there is a strong evidence of contemporaneous duration dependence between the prices of these stocks and (2) as a result the estimators of the bivariate hazard function are sensitive to the choice of copulas under our study.

Keywords: Copula; Duration; dependence; Gamma; distribution; Hazard; functions; Rank; correlations (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544-6123(10)00020-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:7:y:2010:i:3:p:148-162

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-11-08
Handle: RePEc:eee:finlet:v:7:y:2010:i:3:p:148-162