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

页码：273 / 275

页数：3

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