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A test of the mixture of distributions models

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorZárraga Alonso, Ainhoa
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2011-01-03T17:05:26Z
dc.date.available2011-01-03T17:05:26Z
dc.date.issued2000-04
dc.description.abstractIn 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.
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9918
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries00-35
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.titleA test of the mixture of distributions models
dc.typeworking paper*
dspace.entity.typePublication
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