Generalized moving average models and applications in high frequency data

Authors

Shelton Peiris
David E. AllenFollow
Aerambamoorthy Thavaneswaran

Document Type

Other

Publisher

Edith Cowan University

Place of Publication

Perth, Western Australia

School

School of Accounting, Finance and Economics

Comments

Peiris, S., Allen, D., & Thavaneswaran, A. (2002). Generalized moving average models and applications in high frequency data. Perth, Australia: Edith Cowan University.

Abstract

This paper considers a new class of first order moving average type time series model with index δ (> 0) to describe some hidden features of a time series. It is shown that this class of models provides a valid, simple solution to a new direction of time series modelling. In particular, for suitably chosen parameters (coefficient β and index δ) this type of models could be used to describe data with low or high frequency components. Various new results associated with this class are given in a general form. A simulation study is carried out to justify the theory. We justify the importance of this class of models in practice using a set of real time series data.