The Markov switching ACD model:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Fachbereich Wirtschaftswissenschaften
2002
|
| Schriftenreihe: | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & accounting
90 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 41 S. |
Internformat
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Datensatz im Suchindex
| _version_ | 1804129369200787456 |
|---|---|
| adam_text | CONTENTS 1
Contents
1 Introduction 2
2 The ACD model 4
3 The Markov switching ACD model 6
3.1 Regime switching models in econometrics 6
3.2 The MSACD model 7
3.3 Inference on the latent regime 10
3.4 ML estimation of MSACD models 11
3.5 The EM algorithm for MSACD models 12
3.6 Statistical inference 14
4 Empirical application 17
4.1 The data set 17
4.2 Analysis of seasonally 18
4.3 Estimation results for MSACD models 20
5 Testing implications of sequential trade models 28
6 Conclusions 36
A Appendix 36
A.I Distributions for ACD models 36
A.2 The distribution of the residuals 38
|
| any_adam_object | 1 |
| author | Hujer, Reinhard 1940-2020 Vuletić, Sandra 1974- Kokot, Stefan |
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| id | DE-604.BV014590670 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T19:04:02Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009919552 |
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| physical | 41 S. |
| publishDate | 2002 |
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| series2 | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & accounting |
| spelling | Hujer, Reinhard 1940-2020 Verfasser (DE-588)131839381 aut The Markov switching ACD model Reinhard Hujer ; Sandra Vuletic ; Stefan Kokot Frankfurt am Main Fachbereich Wirtschaftswissenschaften 2002 41 S. txt rdacontent n rdamedia nc rdacarrier Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & accounting 90 Markov-Modell (DE-588)4168923-9 gnd rswk-swf Autoregressives Modell (DE-588)4143717-2 gnd rswk-swf Zeitreihe (DE-588)4127298-5 gnd rswk-swf Autoregressives Modell (DE-588)4143717-2 s Zeitreihe (DE-588)4127298-5 s Markov-Modell (DE-588)4168923-9 s DE-604 Vuletić, Sandra 1974- Verfasser (DE-588)132035413 aut Kokot, Stefan Verfasser aut Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften Working paper series Finance & accounting ; 90 (DE-604)BV012463173 90 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009919552&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hujer, Reinhard 1940-2020 Vuletić, Sandra 1974- Kokot, Stefan The Markov switching ACD model Markov-Modell (DE-588)4168923-9 gnd Autoregressives Modell (DE-588)4143717-2 gnd Zeitreihe (DE-588)4127298-5 gnd |
| subject_GND | (DE-588)4168923-9 (DE-588)4143717-2 (DE-588)4127298-5 |
| title | The Markov switching ACD model |
| title_auth | The Markov switching ACD model |
| title_exact_search | The Markov switching ACD model |
| title_full | The Markov switching ACD model Reinhard Hujer ; Sandra Vuletic ; Stefan Kokot |
| title_fullStr | The Markov switching ACD model Reinhard Hujer ; Sandra Vuletic ; Stefan Kokot |
| title_full_unstemmed | The Markov switching ACD model Reinhard Hujer ; Sandra Vuletic ; Stefan Kokot |
| title_short | The Markov switching ACD model |
| title_sort | the markov switching acd model |
| topic | Markov-Modell (DE-588)4168923-9 gnd Autoregressives Modell (DE-588)4143717-2 gnd Zeitreihe (DE-588)4127298-5 gnd |
| topic_facet | Markov-Modell Autoregressives Modell Zeitreihe |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009919552&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012463173 |
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