Mixing properties of integer-valued GARCH processes

zbMATH Open1464.62380MaRDI QIDQ5856502FDOQ5856502

Authors: Paul Doukhan, Naushad Mamode Khan, Michael H. Neumann 

Publication date: 26 March 2021

Full work available at URL: http://alea.impa.br/articles/v18/18-18.pdf

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zbMATH Keywords

GARCH processcontractive Markov chains

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Nonlinear Poisson autoregression
• Convergence of stochastic processes
• Title not available (Why is that?)
• Weak dependence. With examples and applications.
• The notion of \(\psi \)-weak dependence and its applications to bootstrapping time series
• A new weak dependence condition and applications to moment inequalities
• Absolute regularity and ergodicity of Poisson count processes
• The Frequency Distribution of the Difference Between Two Poisson Variates Belonging to Different Populations
• Weakly dependent chains with infinite memory
• Log-linear Poisson autoregression
• Markov Chains
• On the Poisson difference distribution inference and applications
• A Skellam GARCH model
• Absolute regularity of semi-contractive GARCH-type processes
• A parametric time series model with covariates for integers in Z

Cited In (5)

• A new GJR‐GARCH model for ℤ‐valued time series
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series
• Mixing properties of non-stationary INGARCH(1, 1) processes
• A mixture integer-valued ARCH model

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