Integer-Valued APARCH Processes-Reference-Cited by-同舟云学术

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Integer-Valued APARCH Processes

Published:2016 Issue: Volume: Page:189-202
ISSN:1431-1968
Container-title:Time Series Analysis and Forecasting
language:
Short-container-title:

Author:

da Conceição Costa Maria,Scotto Manuel G.,Pereira Isabel

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-28725-6_15

Reference12 articles.

1. Brännäs, K., Quoreshi, A.M.M.S.: Integer-valued moving average modelling of the number of transactions in stocks. Appl. Financ. Econ. 20, 1429–1440 (2010)

2. Davis, R.A., Dunsmuir, W.T.M., Streett, S.B.: Observation driven models for Poisson counts. Biometrika 90, 777–790 (2003)

3. Ding, Z., Granger, C.W., Engle, R.F.: A long memory property of stock market returns and a new model. J. Empir. Financ. 1, 83–106 (1993)

4. Doukhan, P., Fokianos, K., Tjøstheim, D.: On weak dependence conditions for Poisson autoregressions. Stat. Probab. Lett. 82, 942–948 (2012)

5. Ferland, R., Latour, A., Oraichi, D.: Integer-valued GARCH process. J. Time Ser. Anal. 6, 923–942 (2006)

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1. Periodic negative binomial INGARCH(1, 1) model;Communications in Statistics - Simulation and Computation;2021-10-18

2. A new GJR‐GARCH model for ℤ‐valued time series;Journal of Time Series Analysis;2021-10-04

3. QMLE of periodic integer-valued time series models;Communications in Statistics - Simulation and Computation;2020-04-24

4. Surveillance in Discrete Time Series;Contributions to Statistics;2018

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