A new bivariate integer-valued GARCH model allowing for negative cross-correlation

DOI10.1007/s11749-017-0552-4zbMath1404.62085OpenAlexW2755207055MaRDI QIDQ1616703

Fukang Zhu, Yan Cui

Publication date: 7 November 2018

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-017-0552-4

zbMATH Keywords

MLEtime series of countsPoissonGARCH modelbivariatenegative cross-correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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