Forecasting using factor models based on large data sets have received ample attention due to the models’ ability to increase forecast accuracy with respect to a range of key macroeconomic variables in the US and the UK. However, forecasts based on such factor models do not uniformly...

The paper discusses the latest economic crisis and the public policies used to mitigate the recession and improve the economic growth. The current target rate (monetary policy) is closed to zero since December 2008 with a new experimental policy (“quantitative easing”) to stimulate...

This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>

This thesis comprises two papers concerning modelling of financial count data. The papers advance the integer-valued moving average model (INMA), a special case of integer-valued autoregressive moving average (INARMA) model class, and apply the models to the number of stock transactions in...

The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.

A vector integer-valued moving average (VINMA) model is introduced. <p> The VINMA model allows for both positive and negative correlations <p> between the counts. The conditional and unconditional first and second <p> order moments are obtained. The CLS and FGLS estimators are discussed. <p> The model is...</p></p></p></p>

The integer-valued moving average model is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include, e.g., explanatory variables are offered. Least squares and generalized method of moment...

A bivariate integer-valued moving average (BINMA) model is proposed. The BINMA model allows for both positive and negative correlation between the counts. This model can be seen as an inverse of the conditional duration model in the sense that short durations in a time interval correspond to a...