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A Flexible Coefficient Smooth Transition Time Series Model

Medeiros, Marcelo; Veiga, Alvaro - Economics Institute for Research (SIR), … - 2000

In this paper, we propose a flexible smooth transition autoregressive (STAR) model with multiple regimes and multiple transition variables. We show that this formulation can be interpreted as a time varying linear model where the coefficients are the outputs of a single hidden layer feedforward...

Persistent link: https://www.econbiz.de/10005649332

Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process

He, Changli - Economics Institute for Research (SIR), … - 2000

. Conditions for the existence of any arbitrary unconditional moment are given. Furthermore, the expressions for the kurtosis and …

Persistent link: https://www.econbiz.de/10005649336

Smooth Transition Models

Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1996

This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate...

Persistent link: https://www.econbiz.de/10005649453

Microbased Time Series Analysis: Comparing the technique of pooling time series and cross-sectional data with a microbased superpopulation approach

Cassel, Claes-M. - Economics Institute for Research (SIR), … - 1994

unconditionally using survey sampling principles. Questions regarding the efficiency of the estimators are discussed. … approach is applicable when a probability sample of units is actually drawn from a population of units and followed over time …

Persistent link: https://www.econbiz.de/10005649467

SOCIO-ECONOMIC EFFECTS OF RELATIVE INCOME AND RELATIVE COHORT SIZE

SCHAPIRO, M.O. - Economics Department, Williams College - 1988

Persistent link: https://www.econbiz.de/10005650324

TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA

Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2006

transactions in intra-day data. The BINMA model allows for both positive and negative correlations between the count data … series. The study shows that the correlation between series in the BINMA model is always smaller than one in an absolute … sense. The conditional mean, variance and covariance are given. Model extensions to include explanatory variables …

Persistent link: https://www.econbiz.de/10005651931

Characterizing the degree of stability of non-linear dynamic models

Bask, Mikael; de Luna, Xavier - Institutionen för Nationalekonomi, Umeå Universitet - 2001

non-linear dynamic models may be characterized and studied, where the degree of stability is defined by the effects of exogenous shocks on the evolution of the observed stochastic system. This type of stability concept is frequently of interest in economics, e.g., in real business cycle theory....

Persistent link: https://www.econbiz.de/10005651945

STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION

Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006

This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...

Persistent link: https://www.econbiz.de/10005651956

Modelling High Frequency Financial Count Data

Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2005

positive and negative correlations between the count data series. The study shows that the correlation between series in the … BINMA model is always smaller than 1 in an absolute sense. The conditional mean, variance and covariance are given. Model … there is positive correlation between the stock transactions series. Empirically, we find support for the use of long …

Persistent link: https://www.econbiz.de/10005651976

A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data

Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2006

negative correlations between the counts. The conditional and unconditional first and second order moments are obtained …. The CLS and FGLS estimators are discussed. The model is capable of capturing the covariance between and within …

Persistent link: https://www.econbiz.de/10005652015