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Multivariate count autoregression
5 references·1 citing·24 second hop
Multivariate count autoregression (2019)Multivariate count autoregressionGARCH Models (2010)GARCH ModelsA Primer on Copulas for Count Data (2007)A Primer on Copulas for Count…Integer‐Valued GARCH Process (2006)Integer‐Valued GARCH ProcessConstraints on concordance measures in bivariate discrete data (2004)Constraints on concordance me…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Flexible bivariate Poisson integer-valued GARCH model (2019)Flexible bivariate Poisson in…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)THE TREATMENT OF TIES IN RANKING PROBLEMS (1945)An Introduction to Copulas (1999)An Introduction to Copulas (Springer Series in Statistics) (2006)On rank correlation measures for non-continuous random variables (2006)Multivariate autoregressive modeling of time series count data using copulas (2007)Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation (2012)A negative binomial integer-valued GARCH model (2010)Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models (2011)A Systematic Review of INGARCH Models for Integer-Valued Time Series (2023)The Dual Theory of Choice under Risk (1987)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)Copula Theory: An Introduction (2010)Journal De La Société Française De Statistique (2005)Extensions of some classical methods in change point analysis (2014)Robust Econometric Inference for Stock Return Predictability (2014)Exponential GARCH Modeling With Realized Measures of Volatility (2015)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2006Integer‐Valued GARCH Process499 cited
  • 2007A Primer on Copulas for Count Data339 cited
  • 2010GARCH Models325 cited
  • 2004Constraints on concordance measures in bivariate discrete data179 cited

Cited by

  • 2019Flexible bivariate Poisson integer-valued GARCH model27 cited

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