Arbeitspapier
Regression models for ordinal valued time series: applications in high frequency finance and medicine
In this paper we investigate intraday data of the IBM stock and a time series representing the sleep states of a newborn child. In both cases we are interested in the influence of several covariates observed together with the response series. For the purpose we use on the one hand the regression model proposed in Müller and Czado (2002), on the other hand the ordered probit model. The parameters are estimated with the GM-MGMC algorithm described in Müller and Czado (2002). Predictions are computed to test the results.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 335
- Thema
-
Discrete-valued time series
High-frequency finance : Markov Chain Monte Carlo
Ordered Probit
Regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Müller, Gernot J.
Czado, Claudia
Antes, Stefan
Rottenwallner, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
- (wo)
-
München
- (wann)
-
2003
- DOI
-
doi:10.5282/ubm/epub.1713
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1713-5
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Müller, Gernot J.
- Czado, Claudia
- Antes, Stefan
- Rottenwallner, Martin
- Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Entstanden
- 2003
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