An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity

Many service industry firms strive hard to fill free capacity in order to cover their costs for a fixed capital stock. This paper presents a time series model where the capacity constraint is an integral part. The integer-valued autoregressive model builds on a simple idea of how daily time series arise for hotels and other similar establishments. Measures that follow naturally from the time series model are the occupancy probability and the duration of stay for the visitor. Empirically, we study the effects of price changes and a large festival, on these measures.

Conditional skewness modelling for stock returns

Two approaches to modelling conditional skewness in a nonlinear model for stock returns are studied. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and a Pearson IV specification with three parameters are better supported by data. While the log-generalized gamma indicates that time-varying skewness is an important feature of the daily composite returns of NYSE, the Pearson IV model suggests that excess kurtosis rather than skewness should be accounted for.

Discretized time and conditional duration modelling for stock transaction data

This article considers conditional duration models in which durations are in continuous time, but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators for intra-day duration models. A few estimators that account for the discreteness are discussed and compared in a Monte Carlo experiment. An EM-algorithm accounting for the discrete data performs better than those that do not. Empirical results are reported for trading durations in Ericsson B at Stockholmsborsen for a 3-week period of July 2002. The incorporation of level variables for past trading is rejected in favour of change variables. This enables an interpretation in terms of news effects. No evidence of asymmetric responses to news about prices and spreads is found.

Household Work Travel Time

ARONSSON T. and Brannas K. (1996) Household work travel time, Reg. Studies 30, 541-548. This study derives and estimates models for the work travel time of each spouse in the household conditional on both spouses' hours of work. The model is estimated using Swedish household data. The own labour supply has a positive impact on travel time for females and a negative one for males. The estimated effects of the other spouse's labour supply are insignificant. An overall test of whether the hours of work are weakly separable from work travel time indicates that this hypothesis cannot be rejected for males but can be rejected for females. ARONSSON T. et Brannas K. (1996) La duree du trajet au lieu de travail des menages, Reg. Studies 30, 541-548. Cette etude engendre et estime des modeles relatifs a la duree du trajet au lieu de travail pour chaque epoux du menage en fonction des heures de travail des deux epoux. Le modele est estime a partir des donnees relatives aux menages suedois. L'offre de travail individuelle a un impact positif sur la duree du trajet des femmes et un impact negatif sur celle des hommes. Les effets estimes de l'offre de travail de l'autre epoux sont negligeables. On teste de maniere globale si, oui ou non, les heures de travail se separent faiblement de la duree du trajet au lieu de travail. Il s'avere que cette hypothese ne peut pas etre rejetee pour ce qui concerne les hommes tandis qu'elle peut etre rejetee pour ce qui est des femmes. ARONSSON T. and Brannas K. (1996) Anreisezeiten zur Arbeit verschiedener Personen eines Haushalts, Reg. Studies 30, 541-548. Dieser Aufsatz beschaftigt sich mit Ableitung und Berechnung von Modellen fur Anreisezeiten zur Arbeit beider Ehegatten, die durch ihre Arbeitsstunden bedingt werden. Dem Modell liegt die Berechnung von Daten schwedischer Haushalte zugrunde. Fur Frauen wirkt sich Eigenbeschaftigung positiv auf Wegzeiten aus, und negativ fur Manner. Die berechnete Wirkung der Mithilfe des andern Ehepartners bei der Arbeit ist gering. Eine Gesamtunter-suchung, ob Wochenarbeitsstunden von Wegstunden trennbar sind, deutet darauf hin, dass solch eine Hypothese zwar fur Munner zutrifft, jedoch nicht fur Frauen.Arbeitsangebot, Trennbarkeit nach Wochen, Anreise zur Arbeit, Haushaltsverhalten,

GENERALIZED INTEGER-VALUED AUTOREGRESSION

The integer-valued AR1 model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and unconditional moments can be obtained. Hence estimation, testing and forecasting are feasible and can be based on least squares or GMM techniques. An illustration based on the number of plants within an industrial sector is considered.Characterization, Dependence, Time series model, Estimation, Forecasting, Entry and exit, JEL Classification: C12, C13, C22, C25, C51,

Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets

The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in conditional mean and variance functions is used for the empirical work. News from New York has stronger effects on returns in Tallinn than news from Moscow. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility in Vilnius is more influenced by high-risk shocks from Moscow. Riga seems not to be affected by news arriving from abroad.Estonia, Latvia, Lithuania, Time series, Estimation, Finance

Integer-valued moving average modelling of the number of transactions in stocks

The Integer-valued Moving Average Model (INMA) is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include explanatory variables are offered. Least squares and generalized method of moment estimators are presented. In a small Monte Carlo study a feasible least squares estimator comes out as the best choice. Empirically we find support for the use of long-lag moving average models in a Swedish stock series. There is evidence of asymmetric effects of news about prices on the number of transactions.