This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying … sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for …

class, and apply the models to the number of <p> stock transactions in intra-day data. Paper [4] focuses on modelling the …] advances the INMA model to model the number of transactions in stocks in intraday <p> data. The conditional mean and variance … transactions in intra-day data. The BINMA model allows <p> for both positive and negative correlations between the count data …

the models to the number of stock transactions in intra-day data. <p> Paper [1] advances the INMA model to model the … number of transactions in stocks in intra-day data. The conditional mean and variance properties are discussed and model … (BINMA) and applies the BINMA model to the number of stock transactions in intra-day data. The BINMA model allows for both …

The integer-valued moving average model is advanced to model the number of transactions in intra-day data of stocks …

between and within intra-day time series of high frequency transaction data due to macroeconomic news and news related to a …

intra-day time series of transaction frequency data due to macroeconomic <p> news and news related to a specific stock …

] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information … conventional estimators for intraday duration models. A few estimators that account for the discreteness are discussed and compared …

return series for BRICS countries. In its estimation, the FIMACH model outperforms the FIGARCH and ARFIMA models …