Bivariate Time Series Modeling of Financial Count Data

DOI10.1080/03610920600692649zbMath1105.62107OpenAlexW2124631512MaRDI QIDQ3424164

A. M. M. Shahiduzzaman Quoreshi

Publication date: 15 February 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920600692649

zbMATH Keywords

estimationcount datafinancehigh frequencylong memory time seriesintra-day

Mathematics Subject Classification ID

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Cites Work

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• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish

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