A long-memory integer-valued time series model, INARFIMA, for financial application

DOI10.1080/14697688.2012.711911zbMath1402.62255MaRDI QIDQ5247943

A. M. M. Shahiduzzaman Quoreshi

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.711911

zbMATH Keywords

estimation; fractional integration; high-frequency; reaction time; intra-day

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

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