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...
