Ordinal-response GARCH models for transaction data: A forecasting exercise

Dimitrakopoulos, S orcid.org/0000-0002-0043-180X and Tsionas, M (2019) Ordinal-response GARCH models for transaction data: A forecasting exercise. International Journal of Forecasting, 35 (4). pp. 1273-1287. ISSN 0169-2070

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Copyright, Publisher and Additional Information: © 2019 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. This is an author produced version of an article published in International Journal of Forecasting. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Conditional heteroscedasticity; In-mean effects; Leverage; Markov chain Monte Carlo; Moving average; Ordinal responses
Dates:
  • Accepted: 11 February 2019
  • Published (online): 24 July 2019
  • Published: October 2019
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 12 Feb 2019 13:50
Last Modified: 24 Jul 2021 00:38
Status: Published
Publisher: Elsevier
Identification Number: https://doi.org/10.1016/j.ijforecast.2019.02.016

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