Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/23555 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
CoFE Discussion Paper No. 03/03
Verlag: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Zusammenfassung: 
In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low as for most European exchanges. We present the model at work by applying it to transaction data of the Henkel share traded at the Frankfurt stock exchange over a period of 6 months. In particular, we use the model to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process.
Schlagwörter: 
Autoregressive conditional multinomial model
GLARMA
transaction prices
count data
market microstructure
JEL: 
C22
C25
G10
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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