Publication: A test of the mixture of distributions models
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2000-04
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Abstract
In this paper a direct test of the mixture of distributions model is conducted using daily stock return and trading volume of the Spanish continuous stock market for the period April 1990 to January 1996. Both the standard mixture of distributions model of Tauchen and Pitts (1983) and the modified version proposed by Andersen (1996) are estimated by the Generalized Method of Moments and tested using the overidentified restrictions. The results of the tests show the rejection of the restrictions that the standard and modified models impose on the data, that is, the dynamics of the Spanish returns and volume are not directed by a common factor, namely the flow of information, according to the specifications of the mixture models considered.