This paper studies the impact of news announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact on the time between transactions is studied. Times before, during and after the news release are considered. Econometrically,...

A model to account for the long memory property in a count data framework <p> is proposed and applied to high frequency stock transactions data. <p> The unconditional and conditional first and second order moments are <p> given. The CLS and FGLS estimators are discussed. In its empirical <p> application to...</p></p></p></p>

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...

This paper empirically tests whether an open limit order book contains information about future short-run stock price movements. To account for the discrete nature of price changes, the integer-valued autoregressive model of order one is utilized. A model transformation has an advantage over...

The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...

The paper studies two approaches to modelling conditional skewness in a nonlinear model for stock returns. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and in particular a Pearson IV specification with three...

The purpose of the paper is to study how changes in the Swedish tax system have influenced stock prices and trading volumes around the ex-dividend day. The hypothesis that the ex-dividend price ratio is unaffected by the relatively large tax policy changes in Sweden cannot be rejected, and the...

Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>

The paper considers conditional duration models in which durations are in continuous time but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators....