A vector integer-valued moving average model for high frequency financial count data
A vector integer-valued moving average (VINMA) model is introduced. The CLS and FGLS estimators are discussed. Empirically, it is found that the spillover effect from Ericsson B to AstraZeneca is larger than that from AstraZeneca to Ericsson B.
Year of publication: |
2008
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Authors: | Quoreshi, A.M.M. Shahiduzzaman |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 3, p. 258-261
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Publisher: |
Elsevier |
Subject: | Count-data Intra-day Estimation Reaction-time Finance |
Saved in:
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