Threshold-asymmetric volatility models for integer-valued time series
DC Field | Value | Language |
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dc.contributor.author | Kim, Deok Ryun | - |
dc.contributor.author | Yoon, Jae Eun | - |
dc.contributor.author | Hwang, Sun Young | - |
dc.date.available | 2021-02-22T05:28:49Z | - |
dc.date.issued | 2019-05 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/1853 | - |
dc.description.abstract | This article deals with threshold-asymmetric volatility models for over-dispersed and zero-inflated time series of count data. We introduce various threshold integer-valued autoregressive conditional heteroscedasticity (ARCH) models as incorporating over-dispersion and zero-inflation via conditional Poisson and negative binomial distributions. EM-algorithm is used to estimate parameters. The cholera data from Kolkata in India from 2006 to 2011 is analyzed as a real application. In order to construct the threshold-variable, both local constant mean which is time-varying and grand mean are adopted. It is noted via a data application that threshold model as an asymmetric version is useful in modelling count time series volatility. © 2019 The Korean Statistical Society, and Korean International Statistical Society. | - |
dc.format.extent | 10 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | Korean Statistical Society | - |
dc.title | Threshold-asymmetric volatility models for integer-valued time series | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.doi | 10.29220/CSAM.2019.26.3.295 | - |
dc.identifier.scopusid | 2-s2.0-85068255291 | - |
dc.identifier.wosid | 000471026600004 | - |
dc.identifier.bibliographicCitation | Communications for Statistical Applications and Methods, v.26, no.3, pp 295 - 304 | - |
dc.citation.title | Communications for Statistical Applications and Methods | - |
dc.citation.volume | 26 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 295 | - |
dc.citation.endPage | 304 | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002471749 | - |
dc.description.isOpenAccess | Y | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | esci | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Count data | - |
dc.subject.keywordAuthor | Integer-valued time series | - |
dc.subject.keywordAuthor | Threshold integer-valued ARCH | - |
dc.subject.keywordAuthor | Volatility | - |
dc.identifier.url | http://www.csam.or.kr/journal/view.html?doi=10.29220/CSAM.2019.26.3.295 | - |
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