Modelling High Frequency Financial Count Data
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- Holmberg, Ulf, 2012. "Essays on Credit Markets and Banking," Umeå Economic Studies 840, Umeå University, Department of Economics.
- Raattamaa, Tomas, 2016. "Essays on Delegated Search and Temporary Work Agencies," Umeå Economic Studies 935, Umeå University, Department of Economics.
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-2005-04-24 (All new papers)
- NEP-ECM-2005-04-24 (Econometrics)
- NEP-ETS-2005-04-24 (Econometric Time Series)
- NEP-FIN-2005-04-24 (Finance)
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