On some properties of Autoregressive Conditional Poisson (ACP) models
AbstractHeinen (2003) [CORE Discussion Paper 2003/62, Catholic University of Louvain] had studied the moment properties of the Autoregressive Conditional Poisson (ACP) model. In this paper, we extend Heinen's results to higher order ACP(p, q) models with pÂ >Â 1 and qÂ >Â 1.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 105 (2009)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/ecolet
ACP Forecasting Transactions data Overdispersion Volatility;
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