Work

A new class of Z -valued INAR(1) models with application to mutual fund flows

Year: 2025

Type: article

Abstract: Z -valued time series , which have discrete and quantitative observations on the set Z = { . . . , − 2 , − 1 , 0 , 1 , 2 , … } , are commonly observed in economics and finance . Z -valued versions of integer-valued autoregressive (INAR) models are frequently employed to fit Z -valued time series . However, the existing Z -valued INAR models encounter difficulties in data generation mechanism and statistical inference. To enhance the modeling and prediction of Z -valued time series, this article constructs a class of Z -valued INAR(1) models from a new perspective and studies the related statistical inference problem. Empirically, an application to mutual fund flows demonstrates that our model offers satisfactory performance in economics and finance .

Source: Economics Letters

DOI: 10.1016/j.econlet.2025.112339

Authors: Yao Kang, Yuqing Zhang, Shuhui Wang, Zhiwen Zhao

Institutions: Xi'an Jiaotong University, Liaoning University, Jilin Normal University

Language: English

Topic: Time Series Analysis and Forecasting

Subfield: Signal Processing

Field: Computer Science

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,030

Funders: Natural Science Foundation of Jilin Province, National Natural Science Foundation of China