Brannas, Kurt; Quoreshi, A. M. M. Shahiduzzaman - In: Applied Financial Economics 20 (2010) 18, pp. 1429-1440
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...