Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - In: Journal of Financial Econometrics 12 (2013) 1, pp. 89-121
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...