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....

The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Frechet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for...

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...

The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in conditional mean and variance functions is used for the empirical work. News from New...

Many service industry firms strive hard to fill free capacity in order to cover their costs for a fixed capital stock. This paper presents a time series model where the capacity constraint is an integral part. The integer-valued autoregressive model builds on a simple idea of how daily time...

The integer-valued AR1 model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and unconditional...

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

ARONSSON T. and Brannas K. (1996) Household work travel time, Reg. Studies 30, 541-548. This study derives and estimates models for the work travel time of each spouse in the household conditional on both spouses' hours of work. The model is estimated using Swedish household data. The own labour...