On some properties of Autoregressive Conditional Poisson (ACP) models

M. Ghahramani and A. Thavaneswaran

Economics Letters, 2009, vol. 105, issue 3, 273-275

Abstract: Heinen (2003) [CORE Discussion Paper 2003/62, Catholic University of Louvain] had studied the moment properties of the Autoregressive Conditional Poisson (ACP) model. In this paper, we extend Heinen's results to higher order ACP(p, q) models with p > 1 and q > 1.

Keywords: ACP; Forecasting; Transactions; data; Overdispersion; Volatility (search for similar items in EconPapers)
Date: 2009
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