Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 673: LongMemory, Count Data, Time Series Modelling for Financial Application

Shahiduzzaman Quoreshi ()
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Shahiduzzaman Quoreshi: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

Abstract: A model to account for the long memory property in a count data framework

is proposed and applied to high frequency stock transactions data.

The unconditional and conditional first and second order moments are

given. The CLS and FGLS estimators are discussed. In its empirical

application to two stock series for AstraZeneca and Ericsson B, we find

that both series have a fractional integration property.

Keywords: Intra-day; High frequency; Estimation; Fractional integration; Reaction time

JEL-codes: C13; C22; C25; C51; G12; G14

19 pages, April 11, 2006

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