On some properties of Autoregressive Conditional Poisson (ACP) models

被引：6
|
作者：
Ghahramani, M. [2 ]
Thavaneswaran, A. [1 ]
机构：
[1] Univ Manitoba, Dept Stat, Winnipeg, MB R3T 2N2, Canada
[2] Univ Winnipeg, Dept Math & Stat, Winnipeg, MB R3B 2E9, Canada
来源：
ECONOMICS LETTERS | 2009年 / 105卷 / 03期
基金：
加拿大自然科学与工程研究理事会;
关键词：
ACP; Forecasting; Transactions data; Overdispersion; Volatility;
D O I：
10.1016/j.econlet.2009.08.018
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Heinen (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 p > 1 and q > 1. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：273 / 275
页数：3
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