Quoreshi, A.M.M. Shahiduzzaman - Institutionen för Industriell Ekonomi, Blekinge … - 2014
We develop a model to account for the long memory property in a bivariate count data framework. We propose a bivariate integer-valued fractional integrated (BINFIMA) model and apply the model to high frequency stock transaction data. The BINFIMA model allows for both positive and negative...