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LongMemory, Count Data, Time Series Modelling for Financial Application

  • Quoreshi, Shahiduzzaman

    ()

    (Department of Economics, Umeå University)

A model to account for the long memory property in a count data framework is proposed and applied to high frequency stock transactions data. The unconditional and conditional first and second order moments are given. The CLS and FGLS estimators are discussed. In its empirical application to two stock series for AstraZeneca and Ericsson B, we find that both series have a fractional integration property.

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File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=52401&languageId=3&assetKey=ues673
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Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 673.

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Length: 19 pages
Date of creation: 11 Apr 2006
Date of revision:
Handle: RePEc:hhs:umnees:0673
Contact details of provider: Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
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  1. Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010. "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
  2. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics.
  3. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  4. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  5. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  6. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
  7. Francis X. Diebold, 1988. "Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function," Finance and Economics Discussion Series 41, Board of Governors of the Federal Reserve System (U.S.).
  8. Quoreshi, Shahiduzzaman, 2005. "Bivariate Time Series Modelling of Financial Count Data," Umeå Economic Studies 655, Umeå University, Department of Economics.
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