Modelling financial transaction price movements: a dynamic integer count data model

By Roman Liesenfeld, Ingmar Nolte, Winfried Pohlmeier. 2006

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/352cacad5f4bf9bb89a443245aa1e4cd68cf3bf1

Citations in the corpus

• Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (2010, unknown): “Therefore, following Liesenfeld et al. (2006) and Brockwell (2007), we employ a modified version of the test.”
• Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity (2011, unknown): “In order to check the distributional assumptions of the factor model we use the “randomized” version of the probability integral transform (PIT) proposed by Liesenfeld, Nolte, and Pohlmeier (2006).”