Arbeitspapier
The Dynamic Skellam Model with Applications
We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is modeled via stochastically time-varying intensities of the underlying Poisson counts. The likelihood function for our model is analytically intractable and we evaluate it via a multivariate extension of numerically accelerated importance sampling techniques. We illustrate the new model by two empirical studies and verify whether our framework can adequately handle large data sets. First, we analyze long univariate high-frequency time series of U.S. stock price changes, which evolve as discrete multiples of a fixed tick size of one dollar cent. In a second illustration, we analyze the score differences between rival soccer teams using a large, unbalanced panel of seven seasons of weekly matches in the German Bundesliga.In both empirical studies, the new model provides interesting and non-trivial dynamics with a clear interpretation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 14-032/IV/DSF73
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
- Thema
-
dynamic count data models
non-Gaussian multivariate time series models
importance sampling
numerical integration
volatility models
sports data
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Koopman, Siem Jan
Lit, Rutger
Lucas, André
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Koopman, Siem Jan
- Lit, Rutger
- Lucas, André
- Tinbergen Institute
Entstanden
- 2014
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