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Title: Testing unobserved market heterogeneity in financial markets: the case of Banco Popular
Authors: Pérez Rodríguez, Jorge Vicente 
Gómez Déniz, Emilio 
Sosvilla Rivero,Simón Javier 
UNESCO Clasification: 5302 Econometría
530406 Dinero y operaciones bancarias
Keywords: Bank Failure
Conditional Duration
Finite And Infinite Mixtures
Threshold Models
Unobserved Market Heterogeneity
Issue Date: 2021
Project: Aportaciones A la Toma de Decisiones Bayesianas Óptimas: Aplicaciones Al Coste-Efectividad Con Datos Clínicos y Al Análisis de Riestos Con Datos Acturiales. 
Journal: Quarterly Review of Economics and Finance 
Abstract: In this paper, we use a specification of the standardized duration 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 heterogeneous agents in the final days of trading of Banco Popular, the first bank rescued by the European Single Resolution Board.
ISSN: 1062-9769
DOI: 10.1016/j.qref.2020.05.016
Source: Quarterly Review of Economics and Finance[ISSN 1062-9769], n. 79, p. 151-160
Appears in Collections:Artículos
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