A Skellam GARCH model
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Cites work
- scientific article; zbMATH DE number 5811430 (Why is no real title available?)
- A mixture integer-valued ARCH model
- A negative binomial integer-valued GARCH model
- A non-stationary integer-valued autoregressive model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- Generalized autoregressive conditional heteroscedasticity
- Integer-Valued GARCH Process
- On some properties of autoregressive conditional Poisson (ACP) models
- Poisson difference integer valued autoregressive model of order one
Cited in
(9)- A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
- A new GJR‐GARCH model for ℤ‐valued time series
- Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
- Integer-valued asymmetric GARCH modeling
- Mixing properties of integer-valued GARCH processes
- Unfolded GARCH models
- \( \mathbb{Z} \)-valued time series: models, properties and comparison
- Signed compound poisson integer-valued GARCH processes
- A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series
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