The moments of certain stochastic integrals with respect to Brownian motion are well known. In this paper the mean and variance of some integrals involving Brownian bridges are found.

This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...

In this article, we extend the earlier work of Freeland and McCabe [Journal of time Series Analysis (2004) Vol. 25, pp. 701-722] and develop a general framework for maximum likelihood (ML) analysis of higher-order integer-valued autoregressive processes. Our exposition includes the case where...

Using the stochastic integration/cointegration framework of Harris, McCabe and Leybourne (2002) we revisit the problem of assessing the empirical evidence for or against the present value class of models in the bond and stock markets. This framework allows for volatility in excess of that...

This paper considers model selection, estimation and forecasting for a class of integer autoregressive models suitable for use when analysing time series count data. Any number of lags may be entertained, and estimation may be performed by likelihood methods. Model selection is enhanced by the...