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

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

negative correlations <p> between the counts. The conditional and unconditional first and second <p> order moments are obtained …

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

Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks

Brännäs, Kurt; Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2004

The integer-valued moving average model 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, e.g., explanatory variables are offered. Least squares and generalized method of moment...

Persistent link: https://www.econbiz.de/10005652061

Bivariate Time Series Modelling of Financial Count Data

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

A bivariate integer-valued moving average (BINMA) model is proposed. The BINMA model allows for both positive and negative correlation between the counts. This model can be seen as an inverse of the conditional duration model in the sense that short durations in a time interval correspond to a...

Persistent link: https://www.econbiz.de/10005652065

La relación entre los ciclos discretos en la inflación y el crecimiento: Perú 1993-2012

Barrera-Chaupis, Carlos - Volkswirtschaftliche Fakultät, … - 2014

We search for evidence against the hypothesis of a non-linear relationship between inflation and growth rates for 1993 …

Persistent link: https://www.econbiz.de/10011144095

La relación entre los ciclos discretos en la inflación y el crecimiento: Perú 1993 - 2012

Barrera, Carlos - Banco Central de Reserva del Perú - 2014

El presente estudio contrasta la hipótesis de una relación no lineal entre la inflación y el crecimiento de la actividad económica del Perú con datos que cubren el periodo enero 1993 - junio 2012. Se usa una familia de modelos dicotómicos que enfatizan la relación entre las fases de...

Persistent link: https://www.econbiz.de/10011145693

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

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...

Persistent link: https://www.econbiz.de/10009308298

Nonlinear Regression with Harris Recurrent Markov Chains

Li, Degui; Tjøstheim, Dag; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2012

In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first … consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory … properties of the nonlinear regression function, but also on the number of regenerations for the Harris recurrent Markov chain …

Persistent link: https://www.econbiz.de/10010860422

A GARCH (1,1) ESTIMATOR WITH (ALMOST) NO MOMENT CONDITIONS ON THE ERROR TERM

Preminger, Arie; Storti, Giuseppe - Economics Department, Ben Gurion University of the Negev - 2006

A least squares estimation approach for the estimation of a GARCH (1,1) model is developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditional moment of some order. We establish the consistency,...

Persistent link: https://www.econbiz.de/10011272233

A GARCH (1,1) estimator with (almost) no moment conditions on the error term

PREMINGER, Arie; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2006

A least squares estimation approach for the estimation of a GARCH (1,1) modelis developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditionalmomen t of some order. We establish the consistency,...

Persistent link: https://www.econbiz.de/10005008182

An alternative bootstrap to moving blocks for time series regression models

Hidalgo, Javier - London School of Economics (LSE) - 2003

The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regression models. More specifically, the first bootstrap is based on resampling...

Persistent link: https://www.econbiz.de/10010745602