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ON THE SIMULTANEITY OF COMPONENTS OF THE TRANSACTION PROCESS
Category: Econometrics
FINANCIAL ECONOMETRICS IV
Tuesday 27th August 2002, 09:30 - 11:00, Room: 2.1
Session Chair(s):
Pierre Giot, University of Namur, BELGIUM and Helena Beltran Lopez, CORE and UCL, BELGIUM
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Abstract:
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In this paper a new estimation concept is proposed for the intraday transaction process
in liquid markets, which is characterized by discrete price changes and an irregular,
stochastic occurrence of transactions.
It extends the work of Rydberg and Shephard (2002) and Engle and Russell (1998) by
suggesting a different decomposition of the joint process of price changes and time
between transactions, which includes a parsimonious modelling of the time between transactions component
and allows to analyse the size and the sign component of the process of price changes separately.
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