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

Hujer Reinhard (), Joachim Grammig () and Kokot Stefan ()
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Hujer Reinhard: 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

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2000, vol. 220, issue 6, 689-714

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.

Keywords: Initial Offerings; Finanztransaktionsdaten; Nichtlineare Zeitreihenmodelle; Autoregressive Conditional Duration Modelle; Initial public offerings; financial transactions data; nonlinear time series; autoregressive conditional duration; Initial Offerings; Finanztransaktionsdaten; Nichtlineare Zeitreihenmodelle; Autoregressive Conditional Duration Modelle (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:220:y:2000:i:6:p:689-714

DOI: 10.1515/jbnst-2000-0606

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