Please use this identifier to cite or link to this item:
Müller, Gernot J.
Czado, Claudia
Antes, Stefan
Rottenwallner, Martin
Year of Publication: 
Series/Report no.: 
Discussion Paper No. 335
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen, München
In this paper we investigate intraday data of the IBM stock and a time series representing the sleep states of a newborn child. In both cases we are interested in the influence of several covariates observed together with the response series. For the purpose we use on the one hand the regression model proposed in Müller and Czado (2002), on the other hand the ordered probit model. The parameters are estimated with the GM-MGMC algorithm described in Müller and Czado (2002). Predictions are computed to test the results.
Discrete-valued time series
High-frequency finance : Markov Chain Monte Carlo
Ordered Probit
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
2.24 MB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.