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This article 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...
Persistent link: https://www.econbiz.de/10005452123
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10005637961
The Integer-valued Moving Average Model (INMA) is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include explanatory variables are offered. Least squares and generalized method of moment...
Persistent link: https://www.econbiz.de/10008674784