Estimation in integer‐valued moving average models

By Kurt Brännäs, Andreia O. Hall. 2001

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Bivariate Time Series Modeling of Financial Count Data (2006, methodology): “The presented count data model can be seen as an inverse of the conditional duration model of Engle and Russell (1998) in the sense that short durations in a time interval correspond to a large count and vice versa.”
Integer-valued moving average modelling of the number of transactions in stocks (2010, methodology): “Assumptions of this type can be relaxed (cf. Brännäs and Hall, 2001). k ¼ k þ X1 i¼1 i kþi !”
Binomial thinning models for integer time series (2006, methodology): “Although retaining the basic structure of the process as well as the unconditional mean and variance given earlier, its ACF is slightly different, refer Brännäs and Hall (2001) for a comparison of the two specifications, together with additional possibilities.”
GENERALIZED INTEGER-VALUED AUTOREGRESSION (2001, methodology): “They may be viewed as duals to INMA(q) models for which Al-Osh and Alzaid (1988) and Brännäs and Hall (1998) have offered some interpretations.”