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Modelling Multivariate Durations

G. Forchini, K. Ranasinghe

Abstract


conditional models: an autoregressive conditional duration model for on a pooled series of durations and a logit model for the type marks. We estimate the model by maximising a pseudo-likelihood which is equivalent to estimating the autoregressive conditional duration model and the logit model separately. We illustrate this methodology by modelling the joint dynamics of the trade shares of Tabcorp Holdings Limited and Tatts group Limited in the Australian financial market between January 15 and January 31 2009.

Keywords


High-frequency data, autoregressive conditional durations, multivariate durations, multinomial logit, conditional distributions

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