Computation of estimates in segmented regression and a liquidity effect model

DOI10.1016/j.csda.2007.02.026zbMath1446.62266OpenAlexW2074568630MaRDI QIDQ1020755

Kiseop Lee, Seongjoo Song, Ryan Gill

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.02.026

zbMATH Keywords

segmented regressionmultiple change pointsliquidity effect estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Modeling discrete stock price changes using a mixture of Poisson distributions ⋮ Regression models for double discrete distributions ⋮ Reduced form modeling of limit order markets

Uses Software

• gss
• FITPACK
• ElemStatLearn

Cites Work

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• Market Volatility and Feedback Effects from Dynamic Hedging
• The Liquidity Discount
• Bayesian Binary Segmentation Procedure for Detecting Streakiness in Sports
• Comparability of Segmented Line Regression Models
• On Hotelling's Approach to Testing for a Nonlinear Parameter in Regression
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Fitting Segmented Curves Whose Join Points Have to be Estimated
• The elements of statistical learning. Data mining, inference, and prediction
• Smoothing spline ANOVA models

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