TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Malec, Peter
A1  - Schienle, Melanie
T1  - Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2011,25
N2  - We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of both liquid and illiquid NYSE stocks, we show that the model captures the dynamic and distributional properties of the data well and is able to correctly predict future distributions.
T3  - CFS working paper series - 2011, 25 
KW  - High-Frequency Data
KW  - Point-Mass Mixture
KW  - Multiplicative Error Model
KW  - Excess Zeros
KW  - Semiparametric Specification Test
KW  - Market Microstructure
Y1  - 2011
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/22873
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-228731
IS  - Version June 2011
ER  -