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This paper will propose a new statistical model for the analysis of data that does not arrive in equal time intervals such as financial transactions data, telephone calls, or sales data on commodities that are tracked electronically. In contrast to fixed interval analysis, the model treats the time between observation arrivals as a stochastic time varying process and therefore is in the spirit of the models of time deformation initially proposed by Tauchen and Pitts (1983), Clark (1973) and more recently discussed by Stock (1988), Lamoureux and Lastrapes (1992), Muller et al. (1990) and Ghysels and Jasiak (1994) but does not require auxiliary data or assumptions on the causes of time flow. Strong evidence is provided for duration clustering beyond a deterministic component for the financial transactions data analyzed. We will show that a very simple version of the model can successfully account for the significant autocorrelations in the observed durations between trades of IBM stock on the consolidated market. A simple transformation of the duration data allows us to include volume in the model.

Heteroscedasticity. --- Exports. --- Stochastic processes.

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We examine long-run firm performance following open market share repurchase announcements which occurred during the period 1980 to 1990. We find that the average abnormal four-year buy-and-hold return measured after the initial announcement is 12.1 percent. For `value' stocks, companies more likely to be repurchasing shares because of undervaluation, the average abnormal return is 45.3 percent. For repurchases announced by `glamour' stocks where undervaluation is less likely to be an important motive, no positive drift in abnormal returns is observed. Thus, at least with respect to value stocks, the market errs in its initial response and appears to ignore much of the information conveyed through repurchase announcements.

Stock repurchasing. --- Corporations --- Heteroscedasticity. --- Finance.

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Heteroscedasticity --- Interest rates --- Modèles ARCH --- Mathematical models

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Econometrics. --- Economics --- Heteroscedasticity. --- Sampling (Statistics). --- State-space methods. --- Mathematical models.

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Dit onderzoek is gebaseerd op de correctiemethode van Forbes en Rigobon (2002), waarbij de correlaties worden aangepast om de heteroskedasticiteit bias op te lossen. Er wordt onderzocht of er sprake is van besmetting gedurende de recente financiële crisis, gestart in 2007, tussen de beurzen van de vier BRIC landen en de beurs van de Verenigde Staten. Het voornaamste doel is om te bepalen of de invloeden tussen die landen veranderen door de crisis, alsook het bepalen of er bij die invloeden sprake is van besmetting. Om dit te doen voeren we een vector autoregressie uit, berekenen we verscheidene correlaties en worden er impulse response functies opgesteld. De conclusie is niet rechtlijnig, omdat we besmetting vinden voor sommige landen tijdens enkele maar niet alle crisis jaren. Samengevat kunnen we zeggen dat er besmetting is en dat de invloeden tussen de BRIC landen en de VS veranderen door de crisis.

BRIC countries. --- Contagion. --- Equity markets. --- Heteroscedasticity bias. --- Interdependencies. --- S180-economie. --- United States of America.