Faculty of Economics and Business Administration Publications Database

Time Varying Trade Intensities and the Deutsche Telekom IPO

Grammig, Joachim
Kokot, Stefan
Volume: 220
Number: 6
Pages: 689 - 714
ISSN-Print: 2366-049X
Link External Source: Online Version
Year: 2000

We apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay (1999) to model the after market trading duration process associated with the initial public offering of the Deutsche Telekom AG share in November of 1996. Special emphasis is devoted to the empirical specification of intra-day seasonality and to the detection of non-stationarity and structural breaks in the trading process.