Multivariate autoregressive modeling of time series count data using copulas

By Andréas Heinen, Erick Rengifo. 2007

125 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/aa1259178e569d9fc2bc6ffaafde169787c55300

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Citations in the corpus

Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “…et al. (2007) use a time-varying conditional copula model to study nancial market integration between seventeen European stock market indices; Heinen and Rengifo (2007) use copulas to model multivariate time series of count data; Rodriguez (2007) uses copulas to study nancial contagion;…”
Count Time Series: A Methodological Review (2021, methodology): “Observation driven models are also possible; see Heinen and Rengifo (2007), Liu (2012), Andreassen (2013), Ahmad (2016), and Lee, Lee, and Tjøstheim (2018), which consider linear count models.”
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, unknown): “To account for the possibility of both conditional as well as unconditional overdispersion and underdispersion, Heinen and Rengifo (2007) propose using the Double Poisson distribution proposed by Efron (1986) and defined by P(St = s|λt, γ) = c(γ, λt) · γ1/2e−γλt ( e−sss s!”
A bivariate INAR(1) process with application (2011, unknown): “E-mail: karlis@aueb.gr c© 2011 SAGE Publications 10.1177/1471082X1001100403 (1997), Brännäs and Nordström (2000), Heinen and Rengifo (2007) and Quoreshi (2006).”
A review of copula models for economic time series (2012, methodology): “[9] use a time-varying conditional copula model to study financial market integration between seventeen European stock market indices; Heinen and Rengifo [88] use copulas to model multivariate time series of counts; Rodriguez [127] uses copulas to study financial contagion; Dearden et al.”
On composite likelihood estimation of a multivariate INAR(1) model (2013, background): “Some extensions to the multivariate case have been proposed by Franke and Rao (1995), Latour (1997), McKenzie (1988), Quoeshi (2006), Heinen and Rengifo (2007) and Pedeli and Karlis (2011a).”
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity (2011, unknown): “(1999), Held et al. (2005), and Heinen and Rengifo (2007).”
Stochastic Conditional Intensity Processes (2006, background): “Spierdijk, Nijman, and van Soest (2002) revealed significant co-movements in the trading intensities of US department store stocks, which is confirmed by Heinen and Rengifo (2003).”