A discrete-state continuous-time model of financial transactions prices and times: the autoregressive conditional multinomial--autoregressive conditional duration model.

From: Journal of Business & Economic Statistics | Date: April 1, 2005| Author: Engle, Robert F.; Russell, Jeffrey R. | Copyright information

Financial transaction prices typically lie on a discrete grid of values and arrive at random times. This paper proposes an econometric model with this structure. The distribution of each price change is a multinomial, conditional on past information and the time interval between the transactions. The proposed autoregressive conditional multinomial (ACM) model is not restricted to be Markov or symmetric in response to shocks; however, such restrictions can be imposed. The duration b...

Read all of this article with a FREE trial to HighBeam Research

Related newspaper, magazine, and journal articles from HighBeam Research

C[O.sub.2] prices, energy and weather.
The Energy Journal ; One of the main objectives of the European Union Emission Trading Scheme is the establishment of a market price level for allowances that show to European C[O.sub.2] emitting installations the environmental impact of their polluting activities. The aim of this paper is to focus on the daily price
Linking individual and aggregate price changes.
Journal of Money, Credit & Banking ; Especially in countries having adopted some definition of price stability as the main focus of their monetary policy, policymakers are seeking to possess advance knowledge of forthcoming price changes. Business analysts trying to project real returns on investment in financial assets are also keen
The life-cycle effects of house price changes.(Author abstract)
Journal of Money, Credit & Banking ; THE ECONOMICS OF HOUSING is a subject of increasing interest to economists as well as policy makers. For a typical household in the United States, housing is not only the single most important consumption good but also the dominant component of wealth. Recent research has focused on the link
Relative price changes as supply shocks: evidence from U.S. cities.
Quarterly Journal of Business and Economics ; Introduction There is a substantial literature that explores the relationship between inflation and the distribution of relative price changes. It is widely documented that there is a positive relationship between inflation and the dispersion of relative price changes. Although somewhat less
The Influence of Inflation on Differential Price Changes Across European Markets.(Brief Article)
Atlantic Economic Journal ; MICK SILVER This paper provides the results of an empirical study of the dispersion of consumer price inflation for each of 19 product groups across 11 European countries using monthly data covering the 1980s. The study relates the degree of inflation dispersion in a market to the mean inflation
Yesterday's bad times are today's good old times: retail price changes are more frequent today than in the 1890s.(Report)
Journal of Money, Credit & Banking ; Among the economic phenomena of the present age, nothing has attracted more attention than the frequency changes to which the values of most commodities are subject. In the good old times in which the economists of the preceding generation lived, and from which they drew their economic
How firms construct price changes: evidence from restaurant responses to increased minimum wages.
American Journal of Agricultural Economics ; How are industry-wide cost shocks, such as an increase in minimum wages, passed on to retail consumers? The question is more complicated than it may first appear. It first implies an aggregated question: do prices rise, and by how much? The aggregated question, concerning the extent of
Price changes by firms in New Zealand--some evidence from the Quarterly Survey of Business Opinion.(Survey)
The Reserve Bank of New Zealand Bulletin ; In the last decade, central banks have conducted new research enhancing their understanding of firm-level price-setting behaviour. This work has revealed new information about the frequency with which firms change prices and provided explanations as to why prices are sticky. This information could
Listing price, time on market, and ultimate selling price: causes and effects of listing price changes.(Statistical Data Included)
Real Estate Economics ; Information about price changes during a home's marketing period is typically missing from data used to investigate the listing price, selling price, and selling time relationship. This paper incorporates price revision information into the study of this relationship. Using a maximum-likelihood
Retailers send message: flip, or else flop; retailers demand more widespread use of method to convey price changes.
Folio: the Magazine for Magazine Management ; ... members are flip-flopping on the issue. And that may be good news. Recently, national distributor Warner Publisher Services implemented ... in the computer, notes George Erhart, owner of Santa Barbara News Agency. There has to be some way to tell the computer that there ...