On some properties of autoregressive conditional Poisson (ACP) models

DOI10.1016/J.ECONLET.2009.08.018zbMath1181.62175OpenAlexW2005578843MaRDI 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

overdispersionforecastingvolatilitytransactions dataACP

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

A model for integer-valued time series with conditional overdispersion ⋮ A Skellam GARCH model

Cites Work

• RCA models with GARCH innovations
• Random coefficient autoregressive models: an introduction
• A nonlinear time series model and estimation of missing observations
• Generalized autoregressive conditional heteroscedasticity
• Forecasting volatility
• Double Exponential Families and Their Use in Generalized Linear Regression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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