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. 2010,19
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 on high frequencies, such as cumulated trading volumes or the time between potentially simultaneously occurring market events. We introduce a flexible pointmass 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 liquid NYSE stocks, we show that the model captures both the dynamic and distribution properties of the data very well and is able to correctly predict future distributions. Keywords: High-frequency Data , Point-mass Mixture , Multiplicative Error Model , Excess Zeros , Semiparametric Specification Test , Market Microstructure JEL Classification: C22, C25, C14, C16, C51
T3  - CFS working paper series - 2010, 19 
KW  - High-frequency Data
KW  - Point-mass Mixture
KW  - Multiplicative Error Model
KW  - Excess Zeros
KW  - Semiparametric Specification Test
KW  - Market Microstructure
KW  - Zeitreihenanalyse
KW  - Finanzwirtschaft
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/20474
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-87070
IS  - November 2010
ER  -