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A general stochastic model for trading-day variations / by Estela Bee Dagum and Benoit Quenneville.: CS11-614/89-11E-PDF

"The purpose of this paper is to introduce a general stochastic model that allows for gradual changes of the daily activity coefficients used to calculate trading-day variations. The model is presented in a state-space form and estimated using the Kalman filter and fixed interval smoother. Examples of the stochastic and deterministic models are given for real data"--Abstract.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.838247&sl=0

Publication information
Department/Agency
  • Canada. Statistics Canada. Methodology Branch.
TitleA general stochastic model for trading-day variations / by Estela Bee Dagum and Benoit Quenneville.
Series title
  • Working paper ; 89-11
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • Digitized edition from print [produced by Statistics Canada].
  • "Working Paper No. TSRA-89-011."
  • "July, 1989."
  • Includes bibliographic references.
Publishing information
  • Ottawa : Statistics Canada, 1989.
Author / Contributor
  • Dagum, Estela Bee.
  • Quenneville, Benoit,1959-
Description15, [2] p. : figures.
Catalogue number
  • CS11-614/89-11E-PDF
Departmental catalogue number11-614E
Subject terms
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