This paper deals with the analysis of a nonlinear time series model of the effects of advertising. Given the nonlinear nature of the process it is not possible to rely on the asymptotic inference. Furthermore, we can not provide an (asymptotic) pivotal statistic. Our solution is the application...

The availability of high frequency databases makes possible to understand financial market dynamics and test some of hypothesis brought up by the microstructure theory. In that way, many formulations have been suggested. One of the first proposals to model event based high frequency data has...

This article faces the problem of stock price forecasting based on an integrated approach in which the modeling of high frequency financial data (duration, volume and bid-ask spread) uses a contemporaneous ordered probit model – the price changes (measured in numbers of ticks) are the...