Integer-valued moving average modelling of the number of transactions in stocks
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
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.
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-36433DOI: 10.1080/09603107.2010.498343OAI: oai:DiVA.org:umu-36433DiVA: diva2:354148