Show simple item record

2010-11-18Buch DOI: 10.18452/4283
Capturing the Zero
dc.contributor.authorSchienle, Melanie
dc.contributor.authorMalec, Peter
dc.contributor.authorHautsch, Nikolaus
dc.date.accessioned2017-06-16T00:14:30Z
dc.date.available2017-06-16T00:14:30Z
dc.date.created2010-11-25
dc.date.issued2010-11-18
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4935
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 on high frequencies, such as cumulated trading volumes or the time between potentially simultaneously occurring market events. 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 liquid NYSE stocks, we show that the model captures both the dynamic and distribution properties of the data very well and is able to correctly predict future distributions.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectmultiplicative error modeleng
dc.subjectexcess zeroseng
dc.subjectsemiparametric specification testeng
dc.subjectmarket microstructureeng
dc.titleCapturing the Zero
dc.typebook
dc.subtitleA New Class of Zero-Augmented Distributions and Multiplicative Error Processes
dc.identifier.urnurn:nbn:de:kobv:11-100178520
dc.identifier.doihttp://dx.doi.org/10.18452/4283
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages33
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue55
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

Show simple item record