A bivariate integer-valued long-memory model for high-frequency financial count data
DOI10.1080/03610926.2014.997361zbMATH Open1396.62245OpenAlexW2171810272MaRDI QIDQ2979583FDOQ2979583
Authors: A. M. M. Shahiduzzaman Quoreshi 
Publication date: 25 April 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.997361
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Cites Work
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Fractional Brownian Motions, Fractional Noises and Applications
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Modeling volatility persistence of speculative returns: a new approach
- The Econometrics of Ultra-high-frequency Data
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Long memory relationships and the aggregation of dynamic models
- Estimation in integer-valued moving average models
- Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
- Bivariate Time Series Modeling of Financial Count Data
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- A long-memory integer-valued time series model, INARFIMA, for financial application
- A review of INMA integer-valued model class, application and further development
- On bivariate threshold Poisson integer-valued autoregressive processes
- Latent level correlation modeling of multivariate discrete-valued financial time series
- Long-memory log-linear zero-inflated generalized Poisson autoregression for COVID-19 pandemic modeling
- Bivariate Time Series Modeling of Financial Count Data
- Bivariate integer-autoregressive process with an application to mutual fund flows
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