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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. | URI: | http://hdl.handle.net/10553/73761 | 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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