Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 657: An Empirical Model for Durations in Stocks

Ola Simonsen ()
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Ola Simonsen: Department of Economics, Umeå University, Postal: Umeå University, S 901 87 Umeå, Sweden

Abstract: This paper considers an extension of the univariate autoregressive conditional duration model to which durations from a second stock are added. The model is empirically used to study durations in two traded stocks, Ericsson B and AstraZeneca, on the Stockholm Stock Exchange. It is found that including durations from a second stock may add explanatory power to the univariate model. Ericsson B is Granger causing durations in AstraZeneca, while AstraZeneca is not Granger causing durations in Ericsson B. Volume, spread and trade intensity changes have significant effects for both series.

Keywords: multivariate; duration; transaction data; market microstructure

JEL-codes: C12; C32; C41; G14

23 pages, April 5, 2005

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