A multiplicative thinning‐based integer‐valued GARCH model (Q6148341)

scientific article; zbMATH DE number 7786777

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English	A multiplicative thinning‐based integer‐valued GARCH model	scientific article; zbMATH DE number 7786777

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title

A multiplicative thinning‐based integer‐valued GARCH model (English)

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Journal of Time Series Analysis

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publication date

11 January 2024

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zbMATH Keywords

ACD model

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INAR model

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INGARCH model

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integer-valued time series

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multiplicative error model (MEM)

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two-stage weighted least squares

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MaRDI publication profile

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cites work

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A simple integer-valued bilinear time series model

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Mixtures of Nonlinear Poisson Autoregressions

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THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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A multiple indicators model for volatility using intra-daily data

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Integer-Valued GARCH Process

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Log-linear Poisson autoregression

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Poisson Autoregression

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Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process

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A generalized mixture integer-valued GARCH model

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Modelling heavy-tailedness in count time series

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Thinning-based models in the analysis of integer-valued time series: a review

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A negative binomial integer-valued GARCH model

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Mathematics(1 entry)

mardi Publication:6148341