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

Author

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  • Brännäs, Kurt

    (Department of Economics, Umeå University)

Abstract

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

Suggested Citation

  • Brännäs, Kurt, 2002. "Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data," Umeå Economic Studies 592, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0592
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    References listed on IDEAS

    as
    1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
    2. Kurt Brännäs & Andreia Hall, 2001. "Estimation in integer‐valued moving average models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 17(3), pages 277-291, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Conditional variance; time series; finance; traded stocks; Poisson.;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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