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dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorMalec, Peteren
dc.contributor.authorSchienle, Melanieen
dc.date.accessioned2011-10-06-
dc.date.accessioned2012-04-20T17:09:39Z-
dc.date.available2012-04-20T17:09:39Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:hebis:30:3-228731en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2011/25en
dc.subject.jelC22en
dc.subject.jelC25en
dc.subject.jelC14en
dc.subject.jelC16en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordHigh-Frequency Dataen
dc.subject.keywordPoint-Mass Mixtureen
dc.subject.keywordMultiplicative Error Modelen
dc.subject.keywordExcess Zerosen
dc.subject.keywordSemiparametric Specification Testen
dc.subject.keywordMarket Microstructureen
dc.subject.stwFinanzmarkten
dc.subject.stwStatistische Verteilungen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwTheorieen
dc.subject.stwBörsenumsatzen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleCapturing the zero: A new class of zero-augmented distributions and multiplicative error processes-
dc.typeWorking Paperen
dc.identifier.ppn66940506Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201125en

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