A vector integer-valued moving average model for high frequency financial count data

Shahiduzzaman Quoreshi

Economics Letters, 2008, vol. 101, issue 3, 258-261

Abstract: A vector integer-valued moving average (VINMA) model is introduced. The CLS and FGLS estimators are discussed. 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; Estimation; Reaction-time; Finance (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(08)00253-X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:3:p:258-261

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().