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ArticleRobust closed-form estimators for the integer-valued GARCH (1,1) model

Qi Li2016

Article2016

Robust closed-form estimators for the integer-valued GARCH (1,1) model

Qi Li · Heng Lian · Fukang Zhu

20 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Advanced Statistical Methods and Models

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References

2006Integer‐Valued GARCH Process 2010A negative binomial integer-valued GARCH model 2011Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models 2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 2010Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity 2010Stylized facts of return series, robust estimates and three popular models of volatility 2013On count time series prediction 2014Influence diagnostics in log-linear integer-valued GARCH models

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Year2016

Typearticle

Published2016-03-21

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2016.03.006

openalex_workW2306933795

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