Przeglądaj wg Słowo kluczowe "intraday seasonality"

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    Analiza czasów trwania pomiędzy zmianami kierunku cen akcji - Wpływ uwzględnienia wewnątrzdziennej sezonowości na ranking modeli ACD
    (Oficyna Wydawnicza AFM, 2015) Białkowska, Justyna; Pipień, Mateusz
    The main purpose of the paper was to investigate the properties of a particular type of price duration process, analysed on the field of modelling transaction data. We considered duration between changes in direction of trend for the price processes and consider the problem of stability of the relative explanatory power of a class of ACD models with respect to the seasonality adjustment. We report model ranking on the basis of information criteria and discuss its sensitivity with respect to the seasonality adjustment procedure elaborated on the basis of nonparametric Nadaraya and Watson regression.