Bivariate integer-autoregressive process with an application to mutual fund flows

Serge Darolles, Gaelle Le Fol, Yang Lu and Ran Sun
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Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Yang Lu: CEPN - Centre d'Economie de l'Université Paris Nord - CNRS - Centre National de la Recherche Scientifique - Université Sorbonne Paris Nord
Ran Sun: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: We propose a new family of bivariate nonnegative integer-autoregressive (BINAR) models for count process data. We first generalize the existing BINAR(1) model by allowing for dependent thinning operators and arbitrary innovation distribution. The extended family allows for intuitive interpretation, as well as tractable aggregation and stationarity properties. We then introduce higher order BINAR(p) and BINAR(∞) dynamics to accommodate more flexible serial dependence patterns. So far, the literature has regarded such models as computationally intractable. We show that the extended BINAR family allows for closed-form predictive distributions at any horizons and for any values of p, which significantly facilitates non-linear forecasting and likelihood based estimation. Finally, a BINAR(∞) model with memory persistence is applied to open-ended mutual fund purchase and redemption order counts

Keywords: Compound autoregressive process; Memory persistence; Mutual funds; Non-linear forecasting (search for similar items in EconPapers)
Date: 2019-06
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Citations: View citations in EconPapers (2)

Published in Quantitative Finance and Financial Econometrics (QFFE 2019), Jun 2019, Marseille, France

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Related works:
Working Paper: Bivariate integer-autoregressive process with an application to mutual fund flows (2019)
Working Paper: Bivariate integer-autoregressive process with an application to mutual fund flows (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04582262

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