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.

中文翻译：

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测试金融市场中未观察到的市场异质性：Banco Popular 的案例

摘要 在本文中，我们使用标准化持续时间的规范来测试基于自激阈值自回归条件持续时间模型的非线性版本中未观察到的异质性。我们说明了此程序的相关性，用于在 Banco Popular 交易的最后几天识别异构代理的存在，这是第一家被欧洲单一决议委员会拯救的银行。