On some properties of Autoregressive Conditional Poisson (ACP) models

Economics Letters

Volumn 105, Issue 3, 2009, Pages 273-275

  Ghahramani, M ^a   Thavaneswaran, A ^b  

^a UNIVERSITY OF WINNIPEG   (Canada)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

ACP; Forecasting; Overdispersion; Transactions data; Volatility

Indexed keywords

EID: 70350408338     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2009.08.018     Document Type: Article

References (10)

1. Abraham B., and Thavaneswaran A. A nonlinear time series model and estimation of missing observations. Annals of the Institute of Statistical Mathematics 43 3 (1991) 493-504
2. Bollerslev T. Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31 (1986) 307-327
3. Efron B. Double exponential families and their use in generalized linear regression. Journal of the American Statistical Association 81 (1986) 709-721
4. Engle R.F. Autoregressive Conditional Heteroscedasticity with estimates of the variance of U.K. inflation. Econometrica 50 (1982) 987-1008
5. Engle R.F., and González-Rivera G. Semiparametric ARCH models. Journal of Business and Economics Statistics 9 (1991) 345-359
6. Engle R.F., and Russell J.K. Autoregressive Conditional Duration: a new model for irregularly spaced transaction data. Econometrica 66 (1998) 1127-1162
7. Heinen A. Modelling time series count data: an Autoregressive Conditional Poisson model. Discussion Paper vol. 2003/62 (2003), Center for operations research and econometrics (CORE), Catholic University of Louvain, Belgium
8. Nicholls D.F., and Quinn B.G. Random Coefficient Autoregressive Models: An Introduction. Lecture Notes in Statistics vol. 11 (1982), Springer, New York
9. Thavaneswaran A., Appadoo S.S., and Peiris S. Forecasting volatility. Statistics & Probability Letters 75 1 (2005) 1-10
10. Thavaneswaran A., Appadoo S.S., and Ghahramani M. RCA models with GARCH errors. Applied Mathematics Letters 22 1 (2009) 110-114