On some properties of autoregressive conditional Poisson (ACP) models

DOI10.1016/j.econlet.2009.08.018zbMath1181.62175MaRDI QIDQ1046300

J. Blot

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.08.018

zbMATH Keywords

overdispersion; forecasting; volatility; transactions data; ACP

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures