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The response of individual FX dealers'quoting activity to macroeconomic news announcements
BEN OMRANE, Walid; HEINEN, Andréas - Center for Operations Research and Econometrics (CORE), … - 2003
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,...
Persistent link: https://www.econbiz.de/10005043461
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Trading activity and liquidity supply in a pure limit order book market
GRAMMIG, Joachim; HEINEN, Andréas; RENGIFO, Erick - Center for Operations Research and Econometrics (CORE), … - 2004
In this paper we perform an empirical analysis of the trading process in a pure limit order book market, the Xetra system which operates at various European exchanges. We study how present and past liquidity supply and demand as well as price volatility affect future trading activity and market...
Persistent link: https://www.econbiz.de/10005065300
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Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas
Rengifo, Erick; Heinen, Andresas - Econometric Society - 2004
This paper introduces the Multivariate Autoregressive Conditional Poisson model to deal with issues of discreteness, overdispersion and both auto- and cross-correlation, arising with multivariate counts. We model counts with a double Poisson and assume that conditionally on past observations the...
Persistent link: https://www.econbiz.de/10005702735
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Multivariate Modelling of Time Series Count Data : An Autoregressive Conditional Poisson Model
Heinen, Andréas; Rengifo, Erick W. - 2005
observations the means follow a Vector Autoregression. We use a copula to introduce contemporaneous correlation between the series …
Persistent link: https://www.econbiz.de/10014067805
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Mixed density based copula likelihood
Azam, Kazim; Lucas, André - 2015 - This version: January 7, 2015
We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …
Persistent link: https://www.econbiz.de/10010464789
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Mixed Density based Copula Likelihood
Azam, Kazim; Lucas, Andre - 2015
We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …
Persistent link: https://www.econbiz.de/10010491389
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Mixed Density based Copula Likelihood
Azam, Kazim; Lucas, Andre - Tinbergen Instituut - 2015
We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …
Persistent link: https://www.econbiz.de/10011255720
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Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
Nolte, Ingmar - 2011
The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...
Persistent link: https://www.econbiz.de/10013134748
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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
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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