Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10773/15064
Título: | Integer-valued APARCH processes in the analysis of time series of counts |
Autor: | Costa, Maria Conceição Pereira, Isabel Scotto, Manuel Gonzalez |
Palavras-chave: | Asymmetric Volatility Ergodicity Heteroscedasticity Overdispersion Non Linear Time Series Stationarity |
Data: | 1-Jul-2015 |
Editora: | Copicentro Granada S.L |
Resumo: | The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/15064 |
ISBN: | 978-84-16292-20-2 |
Versão do Editor: | http://itise.ugr.es/2015/index.php |
Aparece nas coleções: | CIDMA - Comunicações PSG - Comunicações |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
ITISE_2015_submission_167updated.pdf | main article | 340.55 kB | Adobe PDF | Ver/Abrir |
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.