A Skellam GARCH model
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Cites work
- 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
- scientific article; zbMATH DE number 5811430 (Why is no real title available?)
- Integer-Valued GARCH Process
- On some properties of autoregressive conditional Poisson (ACP) models
- Poisson difference integer valued autoregressive model of order one
Cited in
(16)- Unfolded GARCH models
- Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
- Integer-valued asymmetric GARCH modeling
- Signed compound poisson integer-valued GARCH processes
- A new GJR‐GARCH model for ℤ‐valued time series
- Mixing properties of integer-valued GARCH processes
- A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
- \( \mathbb{Z} \)-valued time series: models, properties and comparison
- A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series
- Modelling bounded integer-valued time series of counts with a novel class of Conway–Maxwell–Poisson–Binomial ARCH models
- A novel time-varying coefficient Poisson difference model driven by observation
- Zero-modified Skellam integer-valued GARCH model
- Zero-inflated Poisson INAR(1) model with periodic structure
- An extension of ℤ-valued time series with Poisson difference innovation via logistic regression
- Random multiplication versus random sum: autoregressive-like models with integer-valued random inputs
- An intraday GARCH model for discrete price changes and irregularly spaced observations
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