Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - 2009
Poisson process. This also applies to the conditional variance, making an interpretation as an integer
valued GARCH process … concerned.
Keywords: asymptotic theory, count data, generalized linear models, geometric ergodicity, integer GARCH, likelihood …22
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1 Introduction
In this paper we study ergodicity and likelihood inference for a specific class of GARCH type …