Bivariate Time Series Modelling of Financial Count Data

A.M.M. Shahiduzzaman Quoreshi ()

No 655, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: A bivariate integer-valued moving average (BINMA) model is proposed. The BINMA model allows for both positive and negative correlation between the counts. This model can be seen as an inverse of the conditional duration model in the sense that short durations in a time interval correspond to a large count and vice versa. The conditional mean, variance and covariance of the BINMA model are given. Model extensions to include explanatory variables are suggested. Using the BINMA model for AstraZeneca and Ericsson B it is found that there is positive correlation between the stock transactions series. Empirically, we find support for the use of long-lag bivariate moving average models for the two series. have significant effects for both series.

Keywords: Count data; Intra-day; High frequency; Time series; Estimation; Long memory; Finance (search for similar items in EconPapers)
JEL-codes: C13 C22 C25 C51 G12 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
Date: 2005-04-14

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