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

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

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Year of publication:	2002-10-04
Authors:	Brännäs, Kurt
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	Conditional variance \| time series \| finance \| traded stocks \| Poisson

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Extent:	application/pdf
Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 592 4 pages
Classification:	C25 - Discrete Regression and Qualitative Choice Models ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005424016