Open AccessConditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data
Author(s) -
Kurt Brännäs
Publication year - 2002
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.336440
Subject(s) - heteroscedasticity , count data , series (stratigraphy) , econometrics , time series , autoregressive conditional heteroskedasticity , finance , economics , statistics , computer science , mathematics , volatility (finance) , poisson distribution , paleontology , biology
Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.
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