Integer-valued moving average modelling of the number of transactions in stocks

By Kurt Brännäs, S. Quoreshi. 2010

91 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4852e0ce8ade97a40ab2cab923c9f8f1063e746d

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Citations in the corpus

Bivariate Time Series Modeling of Financial Count Data (2006, methodology): “In an univariate setting, Brännäs and Quoreshi (2004) find a similar result for the same stock, Ericsson B, but for a different data series.”
Serial dependence and regression of Poisson INARMA models (2008, methodology): “Variants of the INAR(1) model for negative binomial marginals, for instance, have been proposed by McKenzie (1985, 1986) and Al-Osh and Aly (1992). In case of binomial marginals, we refer to McKenzie (1985) and Al-Osh and Alzaid (1991).”
Asymptotic behavior of unstable INAR(p) processes (2009, background): “Examples of such applications include Franke and Seligmann [19] (epileptic seizure counts), Böckenholt [7] (longitudional count data), Thyregod et al. [59] (rainfall measurements), Brännäs and Hellström [8] and Rudholm [53] (economics), Brännäs and Shahiduzzaman [9] (finance), Gourieroux and J”
Integer-Valued Self-Exciting Threshold Autoregressive Processes (2012, background): “(7) The first term on the right-hand side of (7) is”
Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) (2008, unknown): “…to economics in, for example, Böckenholt (1999b), Berglund and Brännäs (2001), Brännäs and Hellström (2001), Rudholm (2001), Böckenholt (2003), Brännäs and Shahiduzzaman (2004), Freeland and McCabe (2004), Gourieroux and Jasiak (2004), and McCabe and Martin (2005); and Pickands III…”