Infinitely Divisible Distributions in Integer‐Valued Garch Models
By E. Gonçalves, N. Mendes-Lopes, Filipa Silva. 2015
48 citations recorded by the source corpus.
Subfields: Finance, Global and Planetary Change, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/45d16dd14be3b32cc82062cf0c1e64206f7e4749
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Citations in the corpus
- Poisson QMLE of Count Time Series Models (2016, methodology): “Since the GP distribution belongs to the wide class of the compound Poisson distributions studied by Gonçalves et al. (2015), the latter reference shows that the general GP INGARCH.p; q/ model is strictly stationary and ergodic if and only if (27) holds.”