Abstract

http://ssrn.com/abstract=477781
 
 

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An Examination of the Role of Time in Ultra-High Frequency Data and its Impact on Price Revisions in News Corporation Stock


David E. Allen


University of South Australia; School of Mathematics and Statistics, The University of Sydney; Financial Research Network (FIRN)

Shelton Peiris


University of Sydney - School of Mathematics and Statistics

Wenling Joey Yang


Securities Industry Research Centre of Asia Pacific (SIRCA); Edith Cowan University - School of Finance and Business Economics

December 2003

Edith Cowan University Accounting, Finance and Economics Working Paper

Abstract:     
We consider a new class of time series models (introduced by Engle and Russell (1998)) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes. This new class of time series models is called Autoregressive Conditional Duration (ACD) models. We apply the theory to analyse the behaviour of an Australian Stock: News Corporation, using a high-frequency data set obtained from SIRCA.

Number of Pages in PDF File: 23

Keywords: Autoregressive, Conditional expectation, Intensity, Hazard function

JEL Classification: G12, C22

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Date posted: April 9, 2004  

Suggested Citation

Allen, David E. and Peiris, Shelton and Yang, Wenling Joey, An Examination of the Role of Time in Ultra-High Frequency Data and its Impact on Price Revisions in News Corporation Stock (December 2003). Edith Cowan University Accounting, Finance and Economics Working Paper. Available at SSRN: http://ssrn.com/abstract=477781 or http://dx.doi.org/10.2139/ssrn.477781

Contact Information

David Edmund Allen (Contact Author)
University of South Australia ( email )
Centre for Applied Financial Studies
GPO Box 2471
Adelaide, 2471
Australia
School of Mathematics and Statistics, The University of Sydney ( email )
School of Mathematics and Statistics F07
University of Sydney
Sydney, New South Wales 2006
Australia
HOME PAGE: http://www.maths.usyd.edu.au
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Shelton Peiris
University of Sydney - School of Mathematics and Statistics ( email )
Sydney, New South Wales 2006
Australia
61293515764 (Phone)
61293514534 (Fax)
Wenling Joey Yang
Securities Industry Research Centre of Asia Pacific (SIRCA) ( email )
New South Wales 1215
Australia
Edith Cowan University - School of Finance and Business Economics ( email )
100 Joondalup Drive
Joondalup, WA 6027
Australia
+618 9400 5099 (Phone)
+618 9400 5271 (Fax)
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