A negative binomial integer-valued GARCH model

DOI10.1111/j.1467-9892.2010.00684.xzbMath1290.62092OpenAlexW2151540825MaRDI QIDQ4979080

Fukang Zhu

Publication date: 16 June 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00684.x

zbMATH Keywords

time seriescount dataGARCHstationaritynegative binomialobservation-driven model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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• Interventions in INGARCH processes
• On a mixture vector autoregressive model

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