The paper discusses some model related issues for time series of the number of shareholders in a stock. The point of departure is an integer-valued autoregressive model of order one. Empirical results are presented for some frequently traded stocks on the Finnish and Swedish stock markets. In...

In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...

In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...

We introduce the notions of short and long term asymmetric effects in volatilities. With short term asymmetry we mean the conventional one, i.e. the asymmetric response of current volatility to the most recent return shocks. However, there may be asymmetries in the way the effect of past return...

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

We propose a multiplicative autoregressive conditional proportion (ARCP) model for (0,1)-valued time series, in the spirit of GARCH (generalized autoregressive conditional heteroscedastic) and ACD (autoregressive conditional duration) models. In particular, our underlying process is defined as...

A common approach to analyze count time series is to fit models based on random sum operators. As an alternative, this paper introduces time series models based on a random multiplication operator, which is simply the multiplication of a variable operand by an integer-valued random coefficient,...

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...