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Maximum Likelihood Estimation of a Poissonian Count Rate Function for the Followers of a Twitter Account Making Directional Forecasts of the Stock Market

Giller, Graham L. - 2015

We derive expressions of use in the maximum likelihood estimation of a parameterized growth rate where the quantity growing is a Poissonian count rate parameterized in such a manner as to make it suitable to measure the number of Twitter accounts following an account that makes directional...

Persistent link: https://www.econbiz.de/10013039453

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Left Censoring in Duration Data : Theory and Applications

Rosholm, Michael - 2002

observation period begins, that is, left-censored and left-truncated duration data. We provide a survey of censoring and …

Persistent link: https://www.econbiz.de/10014119033

Volatility Estimation and Forecasts Based on Price Durations

Hong, Seok Young - 2020

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price … duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi …-to-construct non-parametric estimators and ii) parametric price duration estimators using autoregressive conditional duration …

Persistent link: https://www.econbiz.de/10012855793

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

Event Study Analysis with Time-Varying Alphas, Betas and Variances : The Case of M&As

Irani, Mohammad (Vahid) - 2020

This paper proposes a new approach to control the effects of time-varying parameters on the estimates of abnormal returns. Event studies usually assume that the parameters of the market model are stable. Using a sample of firm takeovers, however, I find that this assumption is indeed rejected....

Persistent link: https://www.econbiz.de/10012854703

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...

Persistent link: https://www.econbiz.de/10012022130

Modeling Stock Prices by Multifractional Brownian Motion : An Improved Estimation of the Pointwise Regularity

Bianchi, Sergio - 2017

The paper deals with the problem of estimating the pointwise regularity of the multifractional Brownian motion, assumed as a model of the stock price dynamics. We (a) correct the shifting bias affecting a class of absolute moment-based estimators and (b) build a data-driven algorithm in order to...

Persistent link: https://www.econbiz.de/10012975887

Threshold Stochastic Conditional Duration Model for Transaction Data

Wirjanto, Tony S. - 2015

This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level …. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive … parameters directly. Duration forecasting is constructed by using an auxiliary particle filter based on the fitted models …

Persistent link: https://www.econbiz.de/10013032709

A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data

Vuorenmaa, Tommi A. - 2011

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

Persistent link: https://www.econbiz.de/10013118929