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 ()
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Jorge Pérez-Rodríguez: Department of Quantitative Methods. University of Las Palmas de Gran Canaria, Spain.
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
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)
New Economics Papers: this item is included in nep-mst and nep-ore
Date: 2019-04, Revised 2019-04
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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:201907
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