Bivariate integer-autoregressive process with an application to mutual fund flows

Author:

Darolles Serge,Fol Gaëlle Le,Lu Yang,Sun Ran

Funder

ANR

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference43 articles.

1. Securities and Exchange Commission, Open-End Fund Liquidity Risk Management Programs; Swing Pricing; Re-Opening of Comment Period for Investment Company Reporting Modernization Release, 2015.

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3. Market share, market value and innovation in a panel of British manufacturing firms;Blundell;Rev. Econ. Stud.,1999

4. Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data;Böckenholt;J. Econometrics,1998

5. M. Boudreault, A. Charpentier, Multivariate Integer-Valued Autoregressive Models Applied to Earthquake Counts, UQAM DP, arXiv preprint arXiv:1112.0929, 2011.

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