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Title: Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular
Author: Pérez-Rodríguez, Jorge V
Gómez-Déniz, Emilio
Sosvilla Rivero, Simón, 1961-
Keywords: Fallides bancàries
Indicadors econòmics
Bank failures
Economic indicators
Issue Date: 2019
Publisher: Universitat de Barcelona. Facultat d'Economia i Empresa
Series/Report no: [WP E-IR19/07]
Abstract: In this paper, we attempt to assess the potential importance of different types of traders (i.e., those with public and private information) in financial markets using a specification of the standardized duration. This approach allows us to test unobserved heterogeneity in a nonlinear version based on a self-exciting threshold autoregressive conditional duration model. We illustrate the relevance of this procedure for identifying the presence of private information in the final days of trading of Banco Popular, the first bank rescued by the European Single Resolution Board.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2018, IR19/07
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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