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On some properties of Autoregressive Conditional Poisson (ACP) models

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.
Year of publication:
2009
Authors: Ghahramani, M. ; Thavaneswaran, A.
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 3, p. 273-275
Publisher: Elsevier
Keywords: ACP Forecasting Transactions data Overdispersion Volatility
Type of publication: Article
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008474037
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