Multivariate autoregressive modeling of time series count data using copulas
No abstract is available for this item.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
- BAUWENS, Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, .
"A comparison of financial duration models via density forecasts,"
CORE Discussion Papers RP
-1746, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
- BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2000. "A comparison of financial duration models via density forecasts," CORE Discussion Papers 2000060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2004. "A comparison of financial duration models via density forecast," ULB Institutional Repository 2013/136218, ULB -- Universite Libre de Bruxelles.
- Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
- Andrew Patton & Yanqin Fan & Xiaohong Chen, 2004.
"Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates,"
wp04-19, Warwick Business School, Finance Group.
- Xiaohong Chen & Yanqin Fan & Andrew J. Patton, 2004. "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics 24681, London School of Economics and Political Science, LSE Library.
- Denuit, Michel & Lambert, Philippe, 2005. "Constraints on concordance measures in bivariate discrete data," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 40-57, March.
- Yacine Ait-Sahalia & Per A. Mykland, 2003.
"How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise,"
NBER Working Papers
9611, National Bureau of Economic Research, Inc.
- Yacine Aït-Sahalia, 2005. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 351-416.
- HEINEN, Andréas, 2003.
"Modelling time series count data: an autoregressive conditional Poisson model,"
CORE Discussion Papers
2003062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Heinen, Andreas, 2003. "Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model," MPRA Paper 8113, University Library of Munich, Germany.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
- Engle, Robert F & Lunde, Asger, 1998.
"Trades and Quotes: A Bivariate Point Process,"
University of California at San Diego, Economics Working Paper Series
qt8bh079sq, Department of Economics, UC San Diego.
- Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
- Peter Xue-Kun Song, 2000. "Multivariate Dispersion Models Generated From Gaussian Copula," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(2), pages 305-320.
- Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
- Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:14:y:2007:i:4:p:564-583. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.