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dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorMalec, Peteren_US
dc.contributor.authorSchienle, Melanieen_US
dc.date.accessioned2011-10-06en_US
dc.date.accessioned2012-04-20T17:09:39Z-
dc.date.available2012-04-20T17:09:39Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:hebis:30:3-228731-
dc.identifier.urihttp://hdl.handle.net/10419/57371-
dc.description.abstractWe propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of both liquid and illiquid NYSE stocks, we show that the model captures the dynamic and distributional properties of the data well and is able to correctly predict future distributions.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2011/25en_US
dc.subject.jelC22en_US
dc.subject.jelC25en_US
dc.subject.jelC14en_US
dc.subject.jelC16en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordHigh-Frequency Dataen_US
dc.subject.keywordPoint-Mass Mixtureen_US
dc.subject.keywordMultiplicative Error Modelen_US
dc.subject.keywordExcess Zerosen_US
dc.subject.keywordSemiparametric Specification Testen_US
dc.subject.keywordMarket Microstructureen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwStatistische Verteilungen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwTheorieen_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleCapturing the zero: A new class of zero-augmented distributions and multiplicative error processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn66940506Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201125-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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