“...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...”

“...We propose a bivariate integer-valued fractional integrated (BINFIMA) model to account for the long-memory property and apply the model to high-frequency stock...”

“...A vector integer-valued moving average (VINMA) model is introduced. The CLS and FGLS estimators are discussed. Empirically, it is found that the spillover...”

“...The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier...”