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2012 | OriginalPaper | Buchkapitel

13. Autoregressive Discrete Processes and Quote Dynamics

verfasst von : Professor Dr. Nikolaus Hautsch

Erschienen in: Econometrics of Financial High-Frequency Data

Verlag: Springer Berlin Heidelberg

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Abstract

In this chapter, we discuss dynamic models for discrete-valued data and quote processes. As illustrated in Chap. 4, the time series of the number of events in a given time interval yields a counting process and provides an alternative way to characterize the underlying point process. Section 13.1 presents a class of univariate autoregressive models for count data based on dynamic parameterizations of the conditional mean function in a Poisson distribution. Moreover, we discuss extensions thereof, such as the Negative Binomial distribution and Double Poisson distribution.

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Fußnoten
1
See, for instance, Groß-Klußmann and Hautsch (2011b) for an application to estimate high-frequency market responses to publications of automated news feeds.
 
2
For an analysis of the effects of neglected discreteness, see Harris (1990), Gottlieb and Kalay (1985) or Ball (1988).
 
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Metadaten
Titel
Autoregressive Discrete Processes and Quote Dynamics
verfasst von
Professor Dr. Nikolaus Hautsch
Copyright-Jahr
2012
Verlag
Springer Berlin Heidelberg
DOI
https://doi.org/10.1007/978-3-642-21925-2_13