International Journal of Management and Applied Science (IJMAS)
.
Follow Us On :
current issues
Volume-8,Issue-6  ( Jun, 2022 )
Past issues
  1. Volume-8,Issue-6  ( Jun, 2022 )
  2. Volume-8,Issue-5  ( May, 2022 )
  3. Volume-8,Issue-4  ( Apr, 2022 )
  4. Volume-8,Issue-3  ( Mar, 2022 )
  5. Volume-8,Issue-2  ( Feb, 2022 )
  6. Volume-8,Issue-1  ( Jan, 2022 )
  7. Volume-7,Issue-12  ( Dec, 2021 )
  8. Volume-7,Issue-11  ( Nov, 2021 )
  9. Volume-7,Issue-10  ( Oct, 2021 )
  10. Volume-7,Issue-9  ( Sep, 2021 )

Statistics report
Sep. 2022
Submitted Papers : 80
Accepted Papers : 10
Rejected Papers : 70
Acc. Perc : 12%
Issue Published : 100
Paper Published : 4768
No. of Authors : 9824
  Journal Paper


Paper Title :
Analyzing Intra-Day Stock Transactions using the NGINAR(1) Time series Model

Author :Y. Sunecher, N. Mamode Khan

Article Citation :Y. Sunecher ,N. Mamode Khan , (2018 ) " Analyzing Intra-Day Stock Transactions using the NGINAR(1) Time series Model " , International Journal of Management and Applied Science (IJMAS) , pp. 1-4, Volume-4,Issue-11

Abstract : This paper analyzes the number of intra-day stock transactions of the Mauritius Commercial Bank (MCB) on the Stock Exchange of Mauritius (SEM) using the integer-valued autoregressive process of order (1) (INAR(1)) with inflated geometric marginal counting series based on the negative binomial (NB) thinning operator (NGINAR(1)). The statistical properties of this new time series process are developed and a flexible and computationally stable quasi-likelihood (QL) method of estimation is used to obtain estimates of the mean, serial and other parameters. The performance of this estimation method is tested through a Monte Carlo simulation study. The method is also applied to analyze the intra-day stock transactions of MCB collected over the period 1st March to 30th March 2018, which are influenced by some time-dependent covariates such as news effect, Friday effect and time of the day effect.

Type : Research paper

Published : Volume-4,Issue-11


DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-14373   View Here

Copyright: © Institute of Research and Journals

| PDF |
Viewed - 48
| Published on 2019-02-05
   
   
IRAJ Other Journals
IJMAS updates
IJMAS -THANK YOU ALL FOR CONTRIBUTING YOUR PAPER TO IJMAS APRIL ISSUE. ALL AUTHORS ARE REQUESTED TO GET THEIR HARD COPY NOW.
The Conference World
Facebook

JOURNAL SUPPORTED BY