A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data

Shahiduzzaman Quoreshi

No 674, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: A vector integer-valued moving average (VINMA) model is introduced.

The VINMA model allows for both positive and negative correlations

between the counts. The conditional and unconditional first and second

order moments are obtained. The CLS and FGLS estimators are discussed.

The model is capable of capturing the covariance between and

within intra-day time series of transaction frequency data due to macroeconomic

news and news related to a specific stock. Empirically, it is

found that the spillover effect from Ericsson B to AstraZeneca is larger

than that from AstraZeneca to Ericsson B

Keywords: Count data; Intra-day; Time series; Estimation; Reaction (search for similar items in EconPapers)
JEL-codes: C13 C22 C25 C51 G12 G14 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2006-04-11
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
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Related works:
Journal Article: A vector integer-valued moving average model for high frequency financial count data (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0674

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