Search Results - subject:"Autoregressive conditional multinomial model"

A Dynamic Integer Count Data Model for Financial Transaction Prices

Pohlmeier, Winfried; Liesenfeld, Roman - 2003

In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...

Persistent link: https://www.econbiz.de/10010263413

Modelling financial transaction price movements: a dynamic integer count data model

Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical Economics 30 (2006) 4, pp. 795-825

Persistent link: https://www.econbiz.de/10005612938

A Dynamic Integer Count Data Model for Financial Transaction Prices

Pohlmeier, Winfried; Liesenfeld, Roman - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2003

In this paper we develop a dynamic model for integer counts to capture the discreteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price...

Persistent link: https://www.econbiz.de/10005357915