This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Brännäs, Kurt () (Department of Economics, Umeå University)

Additional information is available for the following registered author(s):

Abstract

Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.econ.umu.se/ues/ues592.ps
File Format: application/postscript
File Function:
Download Restriction: no
File URL: http://www.econ.umu.se/ues/ues592.ps.zip
File Format: application/postscript
File Function:
Download Restriction: no
File URL: http://www.econ.umu.se/ues/ues592.pdf
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://www.econ.umu.se/ues/ues592.pdf.zip
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 592.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 4 pages
Date of creation: 04 Oct 2002
Date of revision:
Handle: RePEc:hhs:umnees:0592

Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Email:
Web page: http://www.econ.umu.se/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Kjell-Göran Holmberg).

Related research
Keywords: Conditional variance time series finance traded stocks Poisson.

Find related papers by JEL classification:
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-20, May. [Downloadable!] (restricted)
    Other versions:
  2. Brännäs, Kurt & Hall, Andreia, 1998. "Estimation in integer - valued moving average models," UmeÃ¥ Economic Studies 477, Umeå University, Department of Economics.
  3. Seung Ahu & Peter Schmidt, 1995. "A separability result for gmm estimation, with applications to gls prediction and conditional moment tests," Econometric Reviews, Taylor and Francis Journals, vol. 14(1), pages 19-34. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? There are over 16000 authors registered on RePEc Author Service.

This page was last updated on 2008-7-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.