Bivariate integer-autoregressive process with an application to mutual fund flows
Gaëlle Le Fol (),
Yang Lu () and
Additional contact information
Gaëlle Le Fol: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique
Ran Sun: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique
Post-Print from HAL
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 , 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: Multivariate low event count process; memory persis- tence; Compound autoregressive process; Memory persistence; Mutual funds; Non-linear forecasting; liquidity risk; mutual funds MSC code: 62-15; JEL code: C32; C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-ore
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02418967
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published in Journal of Multivariate Analysis, Elsevier, 2019, 173, pp.181-203. ⟨10.1016/j.jmva.2019.02.015⟩
Downloads: (external link)
Journal Article: 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 (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-02418967
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().