This paper examines causality between the series of returns and transaction volumes in high frequency data. The dynamics of both series is restricted to transitions between a finite number of states. Depending on the state selection criteria, this approach approximates the dynamics of varying...

This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear...

High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

We consider dynamic models for analysing the holding rates of some durable goods, and especially for describing how these rates react to some modifications of prices. The feature of this paper is the introduction of individual heterogeneity. It allows to examine how the good will diffuse among...

We examine several autoregressive-based estimators for the parameters of a moving average process, including the estimators initially proposed by Galbraith and Zinde-Walsh [1994] and Gouriéroux, Monfort and Renault [1993]. We also propose over-identified asymptotic-least-squares based variants...