Author: Jeffrey R. Russell
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 274
Book Description
Econometric Analysis of Irregularly-spaced Transaction Data Using a New Class of Accelerated Failure Time Models with Applications to Financial Transaction Data
Author: Jeffrey R. Russell
Publisher:
ISBN:
Category :
Languages : en
Pages : 121
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 121
Book Description
Econometric Analysis of Irregularly-spaced Transaction Data Using a New Class of Accelerated Failure Time Models with Application to Financial Transaction Data
Author: Jeffrey R. Russell
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 274
Book Description
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 274
Book Description
Working Paper Series
Author: Jeffrey R. Russell
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 31
Book Description
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 31
Book Description
American Doctoral Dissertations
Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 872
Book Description
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 872
Book Description
Autoregressive Conditional Duration
Author: Jeffrey R. Russell
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper proposes a new statistical model for the analysis of data that do not arrive in equal time intervals, such as financial transactions data, telephone calls, or sales data on commodities that are tracked electronically. In contrast to fixed interval analysis, the model treats the time between events as a stochastic time varying process. We propose a new model for point processes with intertemporal correlation. Because the model focuses on the time interval between events it is called the Autoregressive Conditional Duration (ACD) model. Strong evidence is provided for transaction clustering for the financial transactions dataanalyzed, even after time-of-day effects are removed. Although the model is most naturally applied to the arrival of transactions, we suggest a thinning algorithm to model characteristics associated with the arrival times, allowing the investigator to model processes that are observed in irregular time intervals, not just the arrival times of the data. Models for transaction events, the flow of volume, and the rate of change for prices are estimated.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper proposes a new statistical model for the analysis of data that do not arrive in equal time intervals, such as financial transactions data, telephone calls, or sales data on commodities that are tracked electronically. In contrast to fixed interval analysis, the model treats the time between events as a stochastic time varying process. We propose a new model for point processes with intertemporal correlation. Because the model focuses on the time interval between events it is called the Autoregressive Conditional Duration (ACD) model. Strong evidence is provided for transaction clustering for the financial transactions dataanalyzed, even after time-of-day effects are removed. Although the model is most naturally applied to the arrival of transactions, we suggest a thinning algorithm to model characteristics associated with the arrival times, allowing the investigator to model processes that are observed in irregular time intervals, not just the arrival times of the data. Models for transaction events, the flow of volume, and the rate of change for prices are estimated.
Missing Data Methods
Author: David M. Drukker
Publisher: Emerald Group Publishing
ISBN: 1780525273
Category : Business & Economics
Languages : en
Pages : 262
Book Description
Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.
Publisher: Emerald Group Publishing
ISBN: 1780525273
Category : Business & Economics
Languages : en
Pages : 262
Book Description
Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.
Econometric Analysis of Discrete-valued Irregulary-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinominal Model
Author: Jeffrey R. Russell
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
Time Series Models
Author: D.R. Cox
Publisher: CRC Press
ISBN: 1000152944
Category : Mathematics
Languages : en
Pages : 243
Book Description
The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
Publisher: CRC Press
ISBN: 1000152944
Category : Mathematics
Languages : en
Pages : 243
Book Description
The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
Dissertation Abstracts International
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 584
Book Description
Abstracts of dissertations available on microfilm or as xerographic reproductions.
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 584
Book Description
Abstracts of dissertations available on microfilm or as xerographic reproductions.
Econometric Analysis of Financial and Economic Time Series
Author: Thomas B. Fomby
Publisher: Emerald Group Publishing
ISBN: 0762312742
Category : Business & Economics
Languages : en
Pages : 407
Book Description
Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.
Publisher: Emerald Group Publishing
ISBN: 0762312742
Category : Business & Economics
Languages : en
Pages : 407
Book Description
Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.