We introduce Negative Binomial Autoregressive (NBAR) processes for (univariate and bivariate) count time series. The univariate NBAR process is defined jointly with an underlying intensity process, which is autoregressive gamma. The resulting count process is Markov, with negative binomial...

We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models. Our approach to formulating the models is straightforward, and readily accommodates features such as volatility asymmetry and time-varying volatility persistence. Moreover, it...