Testing unobserved market heterogeneity in financial markets: The case of Banco Popular

Jorge Pérez-Rodríguez (), Emilio Gómez-Déniz and Simon Sosvilla-Rivero

The Quarterly Review of Economics and Finance, 2021, vol. 79, issue C, 151-160

Abstract: In this paper, we use a specification of the standardized duration to test unobserved heterogeneity in a nonlinear version based on a self-exciting threshold autoregressive conditional duration model. We illustrate the relevance of this procedure for identifying the presence of heterogeneous agents in the final days of trading of Banco Popular, the first bank rescued by the European Single Resolution Board.

Keywords: Conditional duration; Threshold models; Finite and infinite mixtures; Unobserved market heterogeneity; Bank failure (search for similar items in EconPapers)
JEL-codes: C22 C41 D53 D82 G10 G12 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160

DOI: 10.1016/j.qref.2020.05.016

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