Integer-valued asymmetric GARCH modeling

DOI10.1111/JTSA.12605MaRDI QIDQ5012864zbMATH OpenOpenAlexFDO

Authors Beth Andrews, X. F. Hu

Publication date 25 November 2021

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

Full work available at URL https://doi.org/10.1111/jtsa.12605

zbMATH Keywords

asymmetric GARCHinteger-valuedmaximum likelihoodPoisson

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
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• Integer-Valued GARCH Process
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Cited in

(10)

• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Influence diagnostics in log-linear integer-valued GARCH models
• A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
• Mean targeting estimator for the integer-valued GARCH(1, 1) model
• Random rounded integer-valued autoregressive conditional heteroskedastic process
• Integer-Valued GARCH Process
• The limiting distribution of a non-stationary integer valued GARCH\((1,1)\) process
• Infinitely divisible distributions in integer-valued GARCH models
• Asymmetric beta-binomial GARCH models for time series with bounded support
• \( \mathbb{Z} \)-valued time series: models, properties and comparison

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