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A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data

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  • Quoreshi, Shahiduzzaman

    (Department of Economics, Umeå University)

Abstract

A vector integer-valued moving average (VINMA) model is introduced. The VINMA model allows for both positive and negative correlations between the counts. The conditional and unconditional first and second order moments are obtained. The CLS and FGLS estimators are discussed. The model is capable of capturing the covariance between and within intra-day time series of transaction frequency data due to macroeconomic news and news related to a specific stock. Empirically, it is found that the spillover effect from Ericsson B to AstraZeneca is larger than that from AstraZeneca to Ericsson B

Suggested Citation

  • Quoreshi, Shahiduzzaman, 2006. "A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data," Umeå Economic Studies 674, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0674
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    References listed on IDEAS

    as
    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. 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.
    3. 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.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    5. Quoreshi, Shahiduzzaman, 2006. "LongMemory, Count Data, Time Series Modelling for Financial Application," Umeå Economic Studies 673, Umeå University, Department of Economics.
    6. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
    7. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
    8. Quoreshi, Shahiduzzaman, 2005. "Bivariate Time Series Modelling of Financial Count Data," Umeå Economic Studies 655, Umeå University, Department of Economics.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Rainer Baule & Bart Frijns & Sebastian Schlie, 2024. "Feedback Trading: The Intraday Case of Retail Derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1487-1507, September.
    2. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    3. Cláudia Santos & Isabel Pereira & Manuel G. Scotto, 2021. "On the theory of periodic multivariate INAR processes," Statistical Papers, Springer, vol. 62(3), pages 1291-1348, June.
    4. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Naushad Mamode Khan, 2019. "Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework," JRFM, MDPI, vol. 12(2), pages 1-13, April.
    5. Miroslav M. Ristić & Yuvraj Sunecher & Naushad Mamode Khan & Vandna Jowaheer, 2019. "A GQL-based inference in non-stationary BINMA(1) time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(3), pages 969-998, September.
    6. Pedeli, Xanthi & Karlis, Dimitris, 2013. "Some properties of multivariate INAR(1) processes," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 213-225.
    7. Khan Naushad Mamode & Sunecher Yuvraj & Jowaheer Vandna, 2017. "Analyzing the Full BINMA Time Series Process Using a Robust GQL Approach," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-12, July.
    8. Sunecher Yuvraj & Mamode Khan Naushad & Jowaheer Vandna, 2019. "Modelling with Dispersed Bivariate Moving Average Processes," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-19, January.

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    More about this item

    Keywords

    Count data; Intra-day; Time series; Estimation; Reaction;
    All these keywords.

    JEL classification:

    • 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

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