کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1149519 1489778 2010 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Long memory in intertrade durations, counts and realized volatility of NYSE stocks
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Long memory in intertrade durations, counts and realized volatility of NYSE stocks
چکیده انگلیسی

We study the persistence of intertrade durations, counts (number of transactions in equally spaced intervals of clock time), squared returns and realized volatility in 10 stocks trading on the New York Stock Exchange. A semiparametric analysis reveals the presence of long memory in all of these series, with potentially the same memory parameter. We introduce a parametric latent-variable long-memory stochastic duration (LMSD) model which is shown to better fit the data than the autoregressive conditional duration model (ACD) in a variety of ways. The empirical evidence we present here is in agreement with theoretical results on the propagation of memory from durations to counts and realized volatility presented in Deo et al. (2009).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 12, December 2010, Pages 3715–3733
نویسندگان
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