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Inference and testing for structural change in general Poisson autoregressive models
11 references·4 citing·39 second hop
Inference and testing for structural change in general Poisson autoregressive models (2015)Inference and testing for structural chan…Changepoints in times series of counts (2012)Changepoints in times series …Interventions in INGARCH processes (2010)Interventions in INGARCH proc…Integer-valued moving average modelling of the number of transactions in stocks (2010)Integer-valued moving average…Parameter change test for random coefficient integer‐valued autoregressive processes with application to polio data analysis (2009)Parameter change test for ran…Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (2009)Asymptotic normality of the q…Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Quasi-maximum-likelihood esti…On discriminating between long-range dependence and changes in mean (2006)On discriminating between lon…Integer‐Valued GARCH Process (2006)Integer‐Valued GARCH ProcessUse of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…Poisson QMLE for change-point detection in general integer-valued time series models (2021)Poisson QMLE for change-point…Tests for Structural Changes in Time Series of Counts (2017)Tests for Structural Changes …Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Models (2017)Negative Binomial Quasi‐Likel…Asymptotic normality and parameter change test for bivariate Poisson INGARCH models (2016)Asymptotic normality and para…Generalized autoregressive conditional heteroskedasticity (1986)A negative binomial integer-valued GARCH model (2010)Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models (2011)Moralization in social networks and the emergence of violence during protests (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Multivariate Simultaneous Generalized ARCH (1995)QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011)Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (2013)GARCH models without positivity constraints: Exponential or log GARCH? (2013)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)A vector integer-valued moving average model for high frequency financial count data (2008)Forecast horizon aggregation in integer autoregressive moving average (INARMA) models (2011)A Skellam GARCH model (2018)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Simple (but effective) tests of long memory versus structural breaks (2006)A Test Against Spurious Long Memory (2010)Financial markets of the LAC region: Does the crisis influence the financial integration? (2019)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)A long memory property of stock market returns and a new model (1993)Modelling Nonlinear Economic Time Series (2010)Risk, Uncertainty, and Expected Returns (2012)Exponential GARCH Modeling With Realized Measures of Volatility (2015)Limit theorems in change-point analysis (1997)Structural changes in autoregressive models for binary time series (2013)CUSUM test for general nonlinear integer-valued GARCH models: comparison study (2018)Journal De La Société Française De Statistique (2005)Augmented GARCH (p,q) process and its diffusion limit (1997)A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)
this work references cited by second hop

References

  • 1994Threshold heteroskedastic models2,294 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2006Integer‐Valued GARCH Process499 cited
  • 1993Threshold arch models and asymmetries in volatility492 cited
  • 2006Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach395 cited
  • 2006On discriminating between long-range dependence and changes in mean160 cited
  • 2010Interventions in INGARCH processes125 cited
  • 2009Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes108 cited
  • 2012Changepoints in times series of counts69 cited
  • 2010Integer-valued moving average modelling of the number of transactions in stocks67 cited
  • 2009Parameter change test for random coefficient integer‐valued autoregressive processes with application to polio data analysis56 cited

Cited by

  • 2016Asymptotic normality and parameter change test for bivariate Poisson INGARCH models42 cited
  • 2017Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Models25 cited
  • 2017Tests for Structural Changes in Time Series of Counts23 cited

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  • 2021Poisson QMLE for change-point detection in general integer-valued time series models9 cited