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• W2051034739 abstract "A model to account for the long-memory property in a count data framework is proposed and applied to high-frequency stock transactions data. By combining features of the INARMA and ARFIMA models, an Integer-valued Auto Regressive Fractionally Integrated Moving Average (INARFIMA) model is proposed. The unconditional and conditional first- and second-order moments are given. The CLS, FGLS and GMM estimators are discussed. In its empirical application to two stock series for AstraZeneca and Ericsson B, we find that both series have a fractional integration property." @default.
• W2051034739 created "2016-06-24" @default.
• W2051034739 creator A5036579924 @default.
• W2051034739 date "2012-08-23" @default.
• W2051034739 modified "2023-10-04" @default.
• W2051034739 title "A long-memory integer-valued time series model, INARFIMA, for financial application" @default.
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• W2051034739 doi "https://doi.org/10.1080/14697688.2012.711911" @default.
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