A Skellam GARCH model

DOI10.1214/16-BJPS338zbMath1404.62082OpenAlexW2791730852MaRDI QIDQ1994038

Maha A. Omair, Ghadah A. Alomani, Abdulhamid A. Alzaid

Publication date: 6 November 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1520046141

zbMATH Keywords

ARCHnonstationaryPoissonnegative binomialgeneralized autoregressive conditional heteroskedasticSkellam

Mathematics Subject Classification ID

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

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