On some properties of Autoregressive Conditional Poisson (ACP) models
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References listed on IDEAS
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
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- HEINEN, Andreas & RENGIFO, Erick, 2003. "Multivariate modelling of time series count data: an autoregressive conditional Poisson model," CORE Discussion Papers 2003025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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"Modelling time series count data: an autoregressive conditional Poisson model,"
CORE Discussion Papers
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- Heinen, Andreas, 2003. "Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model," MPRA Paper 8113, University Library of Munich, Germany.
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KeywordsACP Forecasting Transactions data Overdispersion Volatility;
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