Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958866 | Journal of Empirical Finance | 2007 | 20 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Andréas Heinen, Erick Rengifo,