A Skellam GARCH model

DOI10.1214/16-BJPS338zbMath1404.62082OpenAlexW2791730852WikidataQ130187369 ScholiaQ130187369MaRDI QIDQ1994038

Maha A. Omair, Ghadah A. Alomani, Abdulhamid A. Alzaid

Publication date: 6 November 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1520046141

zbMATH Keywords

ARCHnonstationaryPoissonnegative binomialgeneralized autoregressive conditional heteroskedasticSkellam

Mathematics Subject Classification ID

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

Related Items (7)

Signed compound poisson integer-valued GARCH processes ⋮ Unnamed Item ⋮ A new GJR‐GARCH model for ℤ‐valued time series ⋮ A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application ⋮ \( \mathbb{Z} \)-valued time series: models, properties and comparison ⋮ Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model ⋮ Integer‐valued asymmetric garch modeling

Cites Work

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• A mixture integer-valued ARCH model
• On some properties of autoregressive conditional Poisson (ACP) models
• Generalized autoregressive conditional heteroscedasticity
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• Integer-Valued GARCH Process
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• A negative binomial integer-valued GARCH model

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