A mixture integer-valued GARCH model

MaRDI QIDQ5357865zbMATH OpenFDO

Authors Mamadou Lamine Diop, Aliou Diop, Abdou Kâ Diongue

Publication date 18 September 2017

Full work available at URL https://www.ine.pt/revstat/pdf/rs160302.pdf

zbMATH Keywords

EM algorithmGARCHinteger-valuedmixture models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(11)

• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• A negative binomial mixture integer-valued GARCH model
• Ergodicity conditions for a double mixed Poisson autoregression
• A generalized mixture integer-valued GARCH model
• Mean targeting estimator for the integer-valued GARCH(1, 1) model
• Integer-valued asymmetric GARCH modeling
• Stationarity and ergodicity of Markov switching positive conditional mean models
• Stable mixture GARCH models
• Mixing properties of integer-valued GARCH processes
• On an independent-switching periodic autoregressive conditional duration
• A mixture integer-valued ARCH model

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