A new GJR‐GARCH model for ℤ‐valued time series
DOI10.1111/JTSA.12623OpenAlexW3197602905MaRDI QIDQ5095294FDOQ5095294
Authors: Yue Xu, Fukang Zhu 
Publication date: 8 August 2022
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12623
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Cites Work
- Theory and inference for a class of nonlinear models with application to time series of counts
- Quasi-likelihood inference for negative binomial time series models
- Poisson autoregression
- Integer-Valued GARCH Process
- GARCH processes: structure and estimation
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- A negative binomial integer-valued GARCH model
- Infinitely divisible distributions in integer-valued GARCH models
- GARCH models. Structure, statistical inference and financial applications
- Mixing properties of integer-valued GARCH processes
- A Skellam GARCH model
- Modelling heavy-tailedness in count time series
- Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
- Count and duration time series with equal conditional stochastic and mean orders
Cited In (4)
- A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
- \( \mathbb{Z} \)-valued time series: models, properties and comparison
- A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series
- Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
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