A new GJR‐GARCH model for ℤ‐valued time series

DOI10.1111/jtsa.12623OpenAlexW3197602905MaRDI QIDQ5095294

Yue Xu, Fukang Zhu

Publication date: 8 August 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12623

zbMATH Keywords

asymmetric modelmaximum likelihoodGARCH modelshifted geometric distribution\(\mathbb{Z}\)-valued time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62Mxx)

Related Items (2)

A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application ⋮ \( \mathbb{Z} \)-valued time series: models, properties and comparison

Cites Work

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• Unnamed Item

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