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Integer-valued moving average modelling of the number of transactions in stocks
Umeå University, Faculty of Social Sciences, Department of Economics.
Umeå University, Faculty of Social Sciences, Department of Economics.
2010 (English)In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 20, no 18, 1429-1440 p.Article in journal (Refereed) Published
Abstract [en]

The integer-valued moving average model is advanced to model thenumber of transactions in intra-day data of stocks. The conditional mean andvariance properties are discussed and model extensions to includeexplanatory variables are offered. Least squares and generalized method ofmoment estimators are presented. In a small Monte Carlo study a feasibleleast squares estimator comes out as the best choice. Empirically we findsupport for the use of long-lag moving average models in a Swedish stockseries. There is evidence of asymmetric effects of news about prices on thenumber of transactions.

Place, publisher, year, edition, pages
Taylor & Francis, 2010. Vol. 20, no 18, 1429-1440 p.
National Category
Economics
Research subject
Econometrics
Identifiers
URN: urn:nbn:se:umu:diva-36433DOI: 10.1080/09603107.2010.498343OAI: oai:DiVA.org:umu-36433DiVA: diva2:354148
Available from: 2010-09-30 Created: 2010-09-30 Last updated: 2017-12-12Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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  • de-DE
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Output format
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