Forecasting transaction counts with integer-valued GARCH models

Using numerous transaction data on the number of stock trades, we conduct a forecasting exercise with INGARCH models, governed by various conditional distributions. The model parameters are estimated with efficient Markov Chain Monte Carlo methods, while forecast evaluation is done by calculating point and density forecasts.

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Year of publication:	2020-07-11
Authors:	Aknouche, Abdelhakim ; Almohaimeed, Bader ; Dimitrakopoulos, Stefanos

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Aknouche, Abdelhakim and Almohaimeed, Bader and Dimitrakopoulos, Stefanos (2020): Forecasting transaction counts with integer-valued GARCH models.
Classification:	C1 - Econometric and Statistical Methods: General ; C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; c18 ; C4 - Econometric and Statistical Methods: Special Topics ; c58
Source:	BASE

Persistent link: https://www.econbiz.de/10015212790