Beta–Negative Binomial Auto-Regressions for Modelling Integer-Valued Time Series with Extreme Observations
Work
Year: 2020
Type: article
Abstract: Summary The paper introduces a general class of heavy-tailed auto-regressions for modelling integer-valued time series with outliers. The specification proposed is based on a heavy-tailed mixture of n... more
Author Paolo Gorgi
Institutions Tinbergen Institute, Vrije Universiteit Amsterdam
Cites: 39
Cited by: 22
Related to: 10
FWCI: 3.7
Citation percentile (by year/subfield): 91.52
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid