Umeå Economic Studies,
Umeå University, Department of Economics

Abstract: A vector integer-valued moving average (VINMA) model is introduced.

The VINMA model allows for both positive and negative correlations

between the counts. The conditional and unconditional first and second

order moments are obtained. The CLS and FGLS estimators are discussed.

The model is capable of capturing the covariance between and

within intra-day time series of transaction frequency data due to macroeconomic

news and news related to a specific stock. Empirically, it is

found that the spillover effect from Ericsson B to AstraZeneca is larger

than that from AstraZeneca to Ericsson B

Keywords: Count data; Intra-day; Time series; Estimation; Reaction

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

10 pages, April 11, 2006

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