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...

This paper introduces a new multivariate model for time series count data. The Multivariate Autoregressive Conditional Poisson model (MACP) makes it possible to deal with issues of discreteness, overdispersion (variance greater than the mean) and both auto- and cross-correlation. We model counts...

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...

This paper analyses the effect of nine categories of news announcements on the quoting activity of individual FX dealers on the Euro/Dollar exchange rate from May to October 2001. We use the Double Autoregressive Conditional Poisson model (DACP), which is designed for time series of count data,...

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...