A new GJR‐GARCH model for ℤ‐valued time series

DOI10.1111/JTSA.12623MaRDI QIDQ5095294zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

maximum likelihoodGARCH modelasymmetric modelshifted geometric distribution\(\mathbb{Z}\)-valued time series

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

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Cites work

• A Skellam GARCH model
• A negative binomial integer-valued GARCH model
• Count and duration time series with equal conditional stochastic and mean orders
• GARCH models. Structure, statistical inference and financial applications
• GARCH processes: structure and estimation
• Infinitely divisible distributions in integer-valued GARCH models
• Integer-Valued GARCH Process
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Mixing properties of integer-valued GARCH processes
• Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
• Modelling heavy-tailedness in count time series
• Poisson autoregression
• Quasi-likelihood inference for negative binomial time series models
• Theory and inference for a class of nonlinear models with application to time series of counts

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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