EconPapers    
Economics at your fingertips  
 

Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular

Jorge Pérez-Rodríguez (), Emilio Gómez-Déniza () and Simon Sosvilla-Rivero
Additional contact information
Emilio Gómez-Déniza: Department of Quantitative Methods. TiDES Institute. University of Las Palmas de Gran Canaria, Spain.

No 201907, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: In this paper, we attempt to assess the potential importance of different types of traders (i.e., those with public and private information) in financial markets using a specification of the standardized duration. This approach allows us 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 private information 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; private information; bank failure. JEL classification:C22; C41; D53; D82; G10; G12; G14. (search for similar items in EconPapers)
Pages: 23 pages
Date: 2019-04, Revised 2019-04
New Economics Papers: this item is included in nep-mst and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ub.edu/irea/working_papers/2019/201907.pdf (application/pdf)

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:ira:wpaper:201907

Access Statistics for this paper

More papers in IREA Working Papers from University of Barcelona, Research Institute of Applied Economics Contact information at EDIRC.
Bibliographic data for series maintained by Alicia García ().

 
Page updated 2025-03-22
Handle: RePEc:ira:wpaper:201907