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Mixed difference integer-valued GARCH model for $\mathbb{Z}$ -valued time seriesMixed difference integer-valued GARCH model for $ \mathbb{Z}$-valued time series

Abdelhakim Aknouche · Christian Francq · Yuichi Goto首次提交 2026-03-14 · 修订 2026-03-17 · v2arXiv预印本

适用于整数值时间序列的混合差分整数值 GARCH 模型AI 解读

In this paper, we introduce flexible observation-driven $\mathbb{Z}$ -valued time series models constructed from mixtures of negative and non-negative components. Compared to models based on the standard Skellam distribution or on a difference of two integer-valued variables, our specification offers greater versatility. For example, it easily allows for skewness and bimodality. Furthermore, the observation of one component of the mixture makes interpretation and statistical…In this paper, we introduce flexible observation-driven $\mathbb{Z}$-valued time series models constructed from mixtures of negative and non-negative components. Compared to models based on the standard Skellam distribution or on a difference of two integer-valued variables, our specification offers greater versatility. For example, it easily allows for skewness and bimodality. Furthermore, the observation of one component of the mixture makes interpretation and statistical…

宏观 · 时间序列极大与准极大似然金融 · 高频计量

关联记录被引 0 次 ↗OpenAlex · 核验 2026-10-01

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Mixed difference integer-valued GARCH model for Z \mathbb{Z}Z-valued time seriesMixed difference integer-valued GARCH model for $ \mathbb{Z}$-valued time series

Mixed difference integer-valued GARCH model for $\mathbb{Z}$ -valued time seriesMixed difference integer-valued GARCH model for $ \mathbb{Z}$-valued time series