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Multivariate Heavy-Tailed GARCH Model by tingtkang is a document available to read on EtoBox.
What is Multivariate Heavy-Tailed GARCH Model about?
This paper introduces a novel multivariate integer-valued GARCH process, termed MPGIG-INGARCH, designed to model heavy-tailed count time series data. The authors propose two variants of the expectation-maximization (EM) algorithm to effectively estimate parameters, addressing computational challenges associated with the likelihood function. Empirical applications include modeling cannabis possession-related offenses in Australia and high-frequency financial transactions in the U.S.
- Author
- tingtkang
- Language
- EN