This paper analyses the purchase and redemption behaviour of mutual fund investors and its implications on fund liquidity risk. We collect a novel set of proprietary data which contains a large number of French investors holding funds with various degrees of asset liquidity. We build a...

We propose a new bivariate nonnegative integer-autoregressive (BINAR) model for count process data. We first generalize the existing BINAR(1) model by allowing for dependence between different thinning operators. The extended family allows for intuitive interpretation, as well as tractable...