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• W2341469082 abstract "In empirical research on financial market microstructure and in testing some predictions from the market microstructure literature, the behavior of some characteristics of trading process can be very important and useful. Among all characteristics associated with tick-by-tick data, the trading time and the price seem the most important. The very first joint model for prices and durations, the so-called UHF-GARCH, has been introduced by Engle (2000). The main aim of this paper is to propose a simple, novel extension of Engle’s specification based on trade-to-trade data and to develop and apply the Bayesian approach to estimation of this model. The intraday dynamics of the return volatility is modelled by an EGARCH-type specification adapted to irregularly time-spaced data. In the analysis of price durations, the Box-Cox ACD model with the generalized gamma distribution for the error term is considered. To the best of our knowledge, the UHF-GARCH model with such a combination of the EGARCH and the Box-Cox ACD structures has not been studied in the literature so far. To estimate the model, the Bayesian approach is adopted. Finally, the methodology developed in the paper is employed to analyze transaction data from the Polish Stock Market." @default.
• W2341469082 created "2016-06-24" @default.
• W2341469082 creator A5085655197 @default.
• W2341469082 date "2016-01-01" @default.
• W2341469082 modified "2023-10-01" @default.
• W2341469082 title "The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations - the Bayesian Approach" @default.
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• W2341469082 hasPublicationYear "2016" @default.
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