Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo ARIMA (Autoregressive Integrated Moving Average)× | Dados de Alta Frequência e Análise da Microestrutura de Mercado× | Regressão por Mínimos Quadrados Ordinários (MQO)× | |
|---|---|---|---|
| Área≠ | Econometria | Finanças | Econometria |
| Família | Regression model | Regression model | Regression model |
| Ano de origem≠ | 2015 | 2007 | 2019 |
| Autor original≠ | Box & Jenkins (Box-Jenkins methodology) | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) | Wooldridge (textbook treatment); classical least squares |
| Tipo≠ | Univariate time-series model | Market microstructure / high-frequency econometrics | Linear regression |
| Fonte seminal≠ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Outros nomes≠ | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Relacionados | 5 | 5 | 5 |
| Resumo≠ | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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