Infinitely Divisible Distributions in Integer‐Valued Garch Models

DOI10.1111/jtsa.12112zbMath1325.62165OpenAlexW2100705327MaRDI QIDQ5256817

Filipa Silva, Nazaré Mendes Lopes, Esmeralda Gonçalves

Publication date: 29 June 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/44666

zbMATH Keywords

GARCH modelcompound Poisson distributionsinfinitely divisible discrete probability lawsinteger-valued time series

Mathematics Subject Classification ID

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

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