Search Results - subject:"count data time series"

Predicting bid-ask spreads using long memory autoregressive conditional poisson models

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...

Persistent link: https://www.econbiz.de/10010281578

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

Persistent link: https://www.econbiz.de/10009205034

Predicting bid-ask spreads using long-memory autoregressive conditional poisson models

Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742

Persistent link: https://www.econbiz.de/10010344462