Bivariate Time Series Modelling of Financial Count Data
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Quoreshi, Shahiduzzaman, 2006. "Time Series Modelling Of High Frequency Stock Transaction Data," Umeå Economic Studies 675, Umeå University, Department of Economics.
- Quoreshi, A.M.M. Shahiduzzaman, 2014. "Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data," Working Papers 2014/03, Blekinge Institute of Technology, Department of Industrial Economics.
- Quoreshi, Shahiduzzaman, 2006. "LongMemory, Count Data, Time Series Modelling for Financial Application," Umeå Economic Studies 673, Umeå University, Department of Economics.
- Quoreshi, A.M.M. Shahiduzzaman, 2008.
"A vector integer-valued moving average model for high frequency financial count data,"
Elsevier, vol. 101(3), pages 258-261, December.
- Quoreshi, Shahiduzzaman, 2006. "A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data," Umeå Economic Studies 674, Umeå University, Department of Economics.
- Scotto, Manuel G. & Weiß, Christian H. & Silva, Maria Eduarda & Pereira, Isabel, 2014. "Bivariate binomial autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 233-251.
More about this item
KeywordsCount data; Intra-day; High frequency; Time series; Estimation; Long memory; Finance;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-ECM-2005-04-16 (Econometrics)
- NEP-ETS-2005-04-16 (Econometric Time Series)
- NEP-FIN-2005-04-16 (Finance)
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