Quadratic estimating functions for Nbingarch model
Time series of counts has been widely used in many real-world applications. In this paper, we derive the quadratic estimating functions for negative binomial GARCH, known as NBINGARCH (p,q) model. Specifically, we derive the optimal function of NBINGARCH(1,1) and obtain the estimated parameters of i...
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| Main Authors: | , , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/81077/7/81077%20program%20book%20and%20abstract.pdf http://irep.iium.edu.my/81077/ |
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