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

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.

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Year of publication:	2008
Authors:	Quoreshi, A.M.M. Shahiduzzaman
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 3, p. 258-261
Publisher:	Elsevier
Subject:	Count-data Intra-day Estimation Reaction-time Finance

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005269627