Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 592: Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data

Kurt Brännäs (kurt.brannas@econ.umu.se)
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

Abstract: Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

Keywords: Conditional variance; time series; finance; traded stocks; Poisson.

JEL-codes: C25; G12; G14

4 pages, October 4, 2002

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