کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958866 929089 2007 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate autoregressive modeling of time series count data using copulas
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Multivariate autoregressive modeling of time series count data using copulas
چکیده انگلیسی

We introduce the Multivariate Autoregressive Conditional Double Poisson model to deal with discreteness, overdispersion and both auto and cross-correlation, arising with multivariate counts. We model counts with a double Poisson and assume that conditionally on past observations the means follow a Vector Autoregression. We resort to copulas to introduce contemporaneous correlation. We apply it to the study of sector and stock-specific news related to the comovements in the number of trades per unit of time of the most important US department stores traded on the NYSE. We show that the market leaders inside a specific sector are related to their size measured by their market capitalization.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 14, Issue 4, September 2007, Pages 564–583
نویسندگان
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