Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
We propose a dynamic factor model for the analysis of multivariate time series count data. Our model allows for idiosyncratic as well as common serially correlated latent factors in order to account for potentially complex dynamic interdependence between series of counts. The model is estimated under alternative count distributions (Poisson and negative binomial). Maximum Likelihood estimation requires high-dimensional numerical integration in order to marginalize the joint distribution with respect to the unobserved dynamic factors. We rely upon the Monte-Carlo integration procedure known as Efficient Importance Sampling which produces fast and numerically accurate estimates of the likelihood function. The model is applied to time series data consisting of numbers of trades in 5 minutes intervals for five NYSE stocks from two industrial sectors. The estimated model accounts for all key dynamic and distributional features of the data. We find strong evidence of a common factor which we interpret as reflecting market-wide news. In contrast, sector-specific factors are found to be statistically insignifficant.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: D-24098 Kiel,Wilhelm-Seelig-Platz 1|
Phone: 0431-880 3282
Fax: 0431-880 3150
Web page: http://www.vwl.uni-kiel.de/en
More information through EDIRC
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.:
- Heinen, Andreas & Rengifo, Erick, 2007. "Multivariate autoregressive modeling of time series count data using copulas," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 564-583, September.
- Liesenfeld, Roman & Jung, Robert C., 1997.
"Stochastic volatility models: Conditional normality versus heavy tailed distributions,"
103, University of Tübingen, School of Business and Economics.
- Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160.
- Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
- 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.
- Wedel, Michel & Böckenholt, Ulf & Kamakura, Wagner A., 2003. "Factor models for multivariate count data," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 356-369, November.
- Heinen, Andreas, 2003.
"Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model,"
8113, University Library of Munich, Germany.
- 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).
- Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
- Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
- Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
- Peter Neal & T. Subba Rao, 2007. "MCMC for Integer-Valued ARMA processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(1), pages 92-110, 01.
- Liesenfeld, Roman, 2001. "A generalized bivariate mixture model for stock price volatility and trading volume," Journal of Econometrics, Elsevier, vol. 104(1), pages 141-178, August.
- repec:pit:wpaper:321 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:zbw:cauewp:7365. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.