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

This paper studies the effect of human capital on the regional entry of firms. An econometric model for a system of disjoint regions and frequency data is constructed, making the comparison between the regions a random discrete choice problem. Empirical evidence from Swedish labour market...

The daily number of occupied hotel rooms in three large Swedish cities is modelled by an integer-valued and binomial autoregression. The model includes the capacity constraint and price variables are incorporated through the parameters of the model. The model implies a duration of hotel visit...

The research estimates a competing risk model of mortgage terminations on samples of UK securitised subprime mortgages. Given the argued role of these types of loan in the recent financial crisis then it is important to better understand their performance and supposed idiosyncratic behaviour....

This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>

The paper introduces a new approach to incorporating time dependent overdispersion for Poisson related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data some wellknown estimators are adapted and a GMM type estimator is suggested. The...

A new approach to limited-dependent variable count data or other model types is considered. Instead of adopting maximum likelihood estimation based on a full distributional assumption or smoothing techniques and semiparametric estimation, the novel idea is to use an approximation to the...

This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...

Lately the interest in arranging festivals or special events has increased in many cities. In this paper we present an econometric model to account for the tourism accommodation impact of such events. The autoregressive count data model incorporates some of the more important factors in the...

This thesis consists of four papers concerning modelling of count data and tourism demand. For three of the papers the focus is on the integer-valued autoregressive moving average model class (INARMA), and especially on the INAR(1) model. The fourth paper studies the interaction between...