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Conditional-mean multiplicative operator models for count time series · Study

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ArticleConditional-mean multiplicative operator models for count time series

Christian H. Weiß2023

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Articlegreen2023

Conditional-mean multiplicative operator models for count time series

Christian H. Weiß · Fukang Zhu

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

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Financial Risk and Volatility Modeling Probability and Statistical Research Time Series Analysis and Forecasting

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References

1986Generalized autoregressive conditional heteroskedasticity 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2002New frontiers for arch models 2006Integer‐Valued GARCH Process 2012Handbook of Volatility Models and Their Applications 2010A negative binomial integer-valued GARCH model 2008Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model 2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

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Details

Year2023

Typearticle

Published2023-11-06

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations15

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2023.107885

openalex_workW4388461526

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