Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data

Kurt Brännäs ()

No 592, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

Keywords: Conditional variance; time series; finance; traded stocks; Poisson. (search for similar items in EconPapers)
JEL-codes: C25 G12 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2002-10-04
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