Skip to main content
SpringerLink
Log in

Comments on: Some recent theory for autoregressive count time series

  • Discussion
  • Published:
TEST Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

References

  • Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econom 52(4):5–59

    Google Scholar 

  • Engle R (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50(4):987–1007

    Article  MathSciNet  MATH  Google Scholar 

  • Engle RF, Russell JR (1998) Autoregressive conditional duration: a new model for irregularly spaced transaction data. Econometrica 66(5):1127–1162

    Article  MathSciNet  MATH  Google Scholar 

  • Glosten LR (1994) Is the electronic open limit order book inevitable? J Finance 49(4):1127–1161

    Article  Google Scholar 

  • Glosten LR, Milgrom PR (1985) Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J Financ Econ 14(1):71–100

    Article  Google Scholar 

  • Jorion P (1997) Value-at-risk: the new benchmark for controlling market risk. McGraw-Hill, New York

    Google Scholar 

  • Schönbucher PJ (2003) Credit derivatives pricing models: model, pricing and implementation. Wiley, New York

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. THEMA, Université de Cergy-Pontoise, 33 Boulevard du Port, 95011, Cergy-Pontoise, France

    Andréas Heinen

Authors
  1. Andréas Heinen
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Andréas Heinen.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Heinen, A. Comments on: Some recent theory for autoregressive count time series. TEST 21, 464–466 (2012). https://doi.org/10.1007/s11749-012-0304-4

Download citation

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11749-012-0304-4

Keywords

Search

Navigation