Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
From MaRDI portal
Publication:6135354
DOI10.1111/jtsa.12679OpenAlexW4319836199MaRDI QIDQ6135354
Abdelhakim Aknouche, Stefanos Dimitrakopoulos
Publication date: 24 August 2023
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12679
autoregressive conditional durationexponential QMLEbeta-ARMA modelproportional time series datasimplex ARMA
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Beta autoregressive fractionally integrated moving average models
- Beta Regression for Modelling Rates and Proportions
- Estimation and tests for power-transformed and threshold GARCH models
- A multiple indicators model for volatility using intra-daily data
- Beta autoregressive moving average models
- Generalized ARMA models with martingale difference errors
- Some parametric models on the simplex
- Strict stationarity of generalized autoregressive processes
- GARCH processes: structure and estimation
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- The Kumaraswamy distribution: median-dispersion re-parameterizations for regression modeling and simulation-based estimation
- Residual and influence analysis to a general class of simplex regression
- Beta regression for time series analysis of bounded data, with application to Canada Google\(^{\circledR}\) Flu Trends
- Theory and inference for a class of nonlinear models with application to time series of counts
- Kalman Filtering with Random Coefficients and Contractions
- Markov Regression Models for Time Series: A Quasi-Likelihood Approach
- Integer-Valued GARCH Process
- An Autoregressive Process for Beta Random Variables
- ON A FAMILY OF DISTRIBUTIONS WITH ARGUMENT BETWEEN 0 AND 1 OBTAINED BY TRANSFORMATION OF THE GAMMA AND DERIVED COMPOUND DISTRIBUTIONS
- Generalized Autoregressive Moving Average Models
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
- Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Models
- QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
- Time Series Models Based on Generalized Linear Models: Some Further Results
- Beta seasonal autoregressive moving average models
- COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
- Periodic autoregressive conditional duration
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Flexible quasi-beta regression models for continuous bounded data
- GARCH Models
- Regression analysis of variates observed on (0, 1): percentages, proportions and fractions
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
This page was built for publication: Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series