Nothing Special   »   [go: up one dir, main page]
create a website
Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework. (2019). Quoreshi, Shahiduzzaman ; Uddin, Reaz ; A. M. M. Shahiduzzaman Quoreshi, ; Khan, Naushad Mamode.
In: JRFM.
RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:74-:d:226448.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 36

References cited by this document

Cocites: 29

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Al-Osh M. A.; Alzaid Aus A. First Order Integer-Valued Autoregressive INAR(1)) Process. Journal of Time Series Analysis 1987, 8, 261-75.
    Paper not yet in RePEc: Add citation now
  2. Al-Osh M. A.; Alzaid Aus A. Integer-Valued Moving Average (INMA) Process. Statistical Papers 1988, 29, 281-300.
    Paper not yet in RePEc: Add citation now
  3. Andersen Torben G.; Bollerslev Tim; Diebold Francis X.; Ebens Heiko. The distribution of realizedstockreturn volatility. Journal of Financial Economics 2001, 61, 43-76.
    Paper not yet in RePEc: Add citation now

  4. Bhardwaj Geetesh; Swanson Norman R. An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series. Journal of Econometrics 2005, 131, 539-78.

  5. Box George E. P.; Pierce David A. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models. Journal of the American Statistical Association 1970, 65, 1509-26.
    Paper not yet in RePEc: Add citation now
  6. Brännäs Kurt; Brännäs Eva. Conditional Variance in Count Data Regression. Communication in Statistics; Theory and Methods 2004, 33, 2745-58.
    Paper not yet in RePEc: Add citation now
  7. Brännäs Kurt; Hall Andreia. Estimation in Integer-Valued Moving Average Models. Applied Stochastic Models in Business and Industry 2001, 17, 277-91.
    Paper not yet in RePEc: Add citation now

  8. Brännäs Kurt; Quoreshi A. M. M. Shahiduzzaman. Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks. Applied Financial Economics 2010, 20, 129-440.

  9. Demsetz Harold. The Cost of Transacting. Quarterly Journal of Economics 1968, 82, 33-53.

  10. Diamond Douglas W.; Verrecchia Robert E. Constraints on Short-Selling and Asset Price Adjustments to Private Information. Journal of Financial Economics 1987, 18, 277-311.

  11. Drost Feike C.; Van den Akker Ramon; Werker Bas J. M. Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2009, 71, 467-85.

  12. Easley David; O’hara Maureen. Time and the Process of Security Price Adjustment. Journal of Finance 1992, 47, 905-27.

  13. Engle Robert F. The Econometrics of Ultra-High Frequency Data. Econometrica 2000, 68, 1-22.

  14. Gourieroux Christian; Monfort Alain; Trognon Alain. Pseudo Maximum Likelihood Methods: Application to Poisson Models. Econometrica 1984, 52, 701-20.
    Paper not yet in RePEc: Add citation now

  15. Granger Clive W. J. Long Memory Relationships and the Aggregation of Dynamic Models. Journal of Econometrics 1980, 14, 227-38.

  16. Granger Clive W. J.; Ding Zhuanxin. Varieties of Long Memory Models. Journal of Econometrics 1996, 73, 61-77.

  17. Granger Clive W. J.; Joyeux Roselyne. An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis 1980, 1, 15-29.

  18. Heinen Andréas; Rengifo Erick. Multivariate Modelling of Time Series Count Data: An Autoregressive Conditional Poisson Model; Université Catholique de Louvain: Louvain-la-Neuve, 2003.

  19. Hosking J. R. M. Fractional Differencing. Biometrika 1981, 68, 165-76.
    Paper not yet in RePEc: Add citation now
  20. Hurst Harold Edwin. Long-Term Storage Capacity of Reservoirs. Transactions of the American Society of Civil Engineers 1951, 116, 770-808.
    Paper not yet in RePEc: Add citation now
  21. Hurst Harold Edwin. Methods of Using Long-Term Storage in Reservoirs. Proceedings of the Institute of Civil Engineers 1956, 1, 519-43.
    Paper not yet in RePEc: Add citation now
  22. Jacobs Patricia A.; Lewis Peter A. W. Discrete Time Series Generalized by Mixtures I: Correlational and Runs Properties. Journal of the Royal Statistical Society B 1978a, 40, 94-105.
    Paper not yet in RePEc: Add citation now
  23. Jacobs Patricia A.; Lewis Peter A. W. Discrete Time Series Generalized by Mixtures II: Asymptotic Properties. Journal of the Royal Statistical Society B 1978b, 40, 222-28.
    Paper not yet in RePEc: Add citation now

  24. Jacobs Patricia A.; Lewis Peter A. W. Stationary Discrete Autoregressive Moving Average Time Series Generated by Mixtures. Journal of Time Series Analysis 1983, 4, 19-36.

  25. Mandelbrot Benoit B.; van Ness John W. Fractional Brownian Motions, Fractional Noises and Applications. SIAM Review 1968, 10, 422-37.
    Paper not yet in RePEc: Add citation now
  26. McKenzie Ed. Autoregressive Moving-Average Processes with Negative Binomial and Geometric Marginal Distributions. Advances in Applied Probability 1986, 18, 679-705.
    Paper not yet in RePEc: Add citation now

  27. Quoreshi A. M. M. Shahiduzzaman. A bivariate integer-valued long-memory model for high-frequency financial count data. Communications in Statistics: Theory and Methods 2017, 46.

  28. Quoreshi A. M. M. Shahiduzzaman. A Long Memory, Count Data, Time Series Model for Financial Application. Quantitative Finance 2014, 14, 2225-35.

  29. Quoreshi A. M. M. Shahiduzzaman. A vector integer-valued moving average model for high frequency financial count data. Economics Letters 2008, 101, 258-61.

  30. Quoreshi A. M. M. Shahiduzzaman. Bivariate Time Series Modelling of Financial Count Data. Communications in Statistics: Theory and Methods 2006, 35, 1343-58.

  31. Ristic Miroslav M.; Sunecher Yuvraj; Khan Naushad Ali Mamode; Jowaheer Vandna. A GQL-based Inference in non-stationary BINMA(1) Time Series. TEST 2018, 1-13.
    Paper not yet in RePEc: Add citation now
  32. Rydberg Tina Hviid; Shephard Neil. BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time; Nuffield College: Oxford, 1999.
    Paper not yet in RePEc: Add citation now
  33. Smith Jeremy; Taylor Nick; Yadav Sanjay. Comparing the bias and Misspecification in ARFIMA models. Journal of Time Series Analysis 1996, 18, 507-27.
    Paper not yet in RePEc: Add citation now
  34. Sunecher Yuvraj; Khan Naushad Mamode; Jowaheer Vandna. BINMA(1) Model with COM-Poisson Innovations: Estimation and Application. Communication in Statistics: Simulation and Computation 2018, 1-22.
    Paper not yet in RePEc: Add citation now

  35. Weiss Andrew A. Asymptotic theory for ARCH models: Estimation and testing. Econometric Theory 1986, 2, 107-31.

  36. Working Holbrook. Futures Trading and Hedging. American Economic Review 1953, 43, 314-43.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. On bivariate threshold Poisson integer-valued autoregressive processes. (2023). Wang, Dehui ; Li, Han ; Zhao, Yiwei ; Yang, Kai.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00899-0.

    Full description at Econpapers || Download paper

  2. On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach Based on Network Community Detection. (2023). Ferretti, Stefano.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10288-w.

    Full description at Econpapers || Download paper

  3. On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis. (2022). Bejaoui, Azza ; Mgadmi, Nidhal ; Moussa, Wajdi.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001301.

    Full description at Econpapers || Download paper

  4. On MCMC sampling in self-exciting integer-valued threshold time series models. (2022). Dong, Xiaogang ; Zhang, Qingqing ; Yu, Xinyang ; Yang, Kai.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002449.

    Full description at Econpapers || Download paper

  5. .

    Full description at Econpapers || Download paper

  6. Random coefficients integer-valued threshold autoregressive processes driven by logistic regression. (2021). Zhang, Chenhui ; Wang, Dehui ; Li, Han ; Yang, Kai.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:105:y:2021:i:4:d:10.1007_s10182-020-00379-0.

    Full description at Econpapers || Download paper

  7. Analysis and Forecasting of Risk in Count Processes. (2021). Frahm, Gabriel ; Weiss, Christian H ; Homburg, Annika ; Gob, Rainer ; Alwan, Layth C.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:182-:d:537533.

    Full description at Econpapers || Download paper

  8. Parameter estimation and diagnostic tests for INMA(1) processes. (2020). Weiss, Christian H ; Aleksandrov, Boris.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:29:y:2020:i:1:d:10.1007_s11749-019-00653-7.

    Full description at Econpapers || Download paper

  9. Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework. (2019). Quoreshi, Shahiduzzaman ; Uddin, Reaz ; A. M. M. Shahiduzzaman Quoreshi, ; Khan, Naushad Mamode.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:74-:d:226448.

    Full description at Econpapers || Download paper

  10. Likelihood Inference for Generalized Integer Autoregressive Time Series Models. (2019). Joe, Harry.
    In: Econometrics.
    RePEc:gam:jecnmx:v:7:y:2019:i:4:p:43-:d:275407.

    Full description at Econpapers || Download paper

  11. Analyzing the Full BINMA Time Series Process Using a Robust GQL Approach. (2017). Vandna, Jowaheer ; Yuvraj, Sunecher ; Mamode, Khan Naushad .
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:9:y:2017:i:2:p:12:n:1.

    Full description at Econpapers || Download paper

  12. Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data. (2014). Quoreshi, Shahiduzzaman ; Quoreshi, A. M. M. Shahiduzzaman, .
    In: Working Papers.
    RePEc:hhs:bthcsi:2014-003.

    Full description at Econpapers || Download paper

  13. Bivariate binomial autoregressive models. (2014). Wei, Christian H. ; Silva, Maria Eduarda ; Scotto, Manuel G. ; Pereira, Isabel .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:125:y:2014:i:c:p:233-251.

    Full description at Econpapers || Download paper

  14. Parameter estimation for binomial AR(1) models with applications in finance and industry. (2013). Kim, Hee-Young ; Wei, Christian .
    In: Statistical Papers.
    RePEc:spr:stpapr:v:54:y:2013:i:3:p:563-590.

    Full description at Econpapers || Download paper

  15. The Role of Asset Prices in Forecasting Inflation and Output in South Africa. (2013). GUPTA, RANGAN.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:12:y:2013:i:3:p:239-291.

    Full description at Econpapers || Download paper

  16. Modeling and predicting the CBOE market volatility index. (2013). Scharth, Marcel ; Medeiros, Marcelo ; Fernandes, Marcelo.
    In: Textos para discussão.
    RePEc:fgv:eesptd:342.

    Full description at Econpapers || Download paper

  17. Predicting BRICS Stock Returns Using ARFIMA Models. (2012). GUPTA, RANGAN ; Balcilar, Mehmet ; Nakumuryango, Amandine ; Redford, Siobhan ; Aye, Goodness C..
    In: Working Papers.
    RePEc:pre:wpaper:201235.

    Full description at Econpapers || Download paper

  18. Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA. (2012). Benbouziane, Mohamed ; Taouli, Mustapha Kamel ; Hadjer, Soumia Aouad.
    In: MPRA Paper.
    RePEc:pra:mprapa:38605.

    Full description at Econpapers || Download paper

  19. Forecast horizon aggregation in integer autoregressive moving average (INARMA) models. (2012). Boylan, John E. ; Mohammadipour, Maryam .
    In: Omega.
    RePEc:eee:jomega:v:40:y:2012:i:6:p:703-712.

    Full description at Econpapers || Download paper

  20. Forecasting long memory time series under a break in persistence. (2009). Sibbertsen, Philipp ; Kruse, Robinson ; Heinen, Florian .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-53.

    Full description at Econpapers || Download paper

  21. Changing-regime volatility: A fractionally integrated SETAR model. (2008). Peguin-Feissolle, Anne ; Guegan, Dominique ; Dufrenot, Gilles.
    In: PSE-Ecole d'économie de Paris (Postprint).
    RePEc:hal:pseptp:halshs-00185369.

    Full description at Econpapers || Download paper

  22. Changing-regime volatility: A fractionally integrated SETAR model. (2008). Peguin-Feissolle, Anne ; Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00185369.

    Full description at Econpapers || Download paper

  23. Changing-regime volatility: A fractionally integrated SETAR model. (2008). PEGUIN-FEISSOLLE, Anne ; GUEGAN, Dominique ; Dufrénot, Gilles.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00185369.

    Full description at Econpapers || Download paper

  24. Long Memory Persistence in the Factor of Implied Volatility Dynamics. (2007). mungo, julius ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-027.

    Full description at Econpapers || Download paper

  25. Simple (but effective) tests of long memory versus structural breaks. (2006). Shimotsu, Katsumi.
    In: Working Papers.
    RePEc:qed:wpaper:1101.

    Full description at Econpapers || Download paper

  26. TIME SERIES MODELLING OF HIGH FREQUENCY STOCK TRANSACTION DATA. (2006). Quoreshi, Shahiduzzaman.
    In: Umeå Economic Studies.
    RePEc:hhs:umnees:0675.

    Full description at Econpapers || Download paper

  27. LongMemory, Count Data, Time Series Modelling for Financial Application. (2006). Quoreshi, Shahiduzzaman.
    In: Umeå Economic Studies.
    RePEc:hhs:umnees:0673.

    Full description at Econpapers || Download paper

  28. An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series. (2006). Swanson, Norman ; Bhardwaj, Geetesh.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:539-578.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-24 04:09:06 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.