most citedAn Integer GARCH model for a Poisson process with time varying zero-inflation

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econ.EM2022

Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model

Isuru Ratnayake, V. A. Samaranayake

This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) formulation for modeling the daily price ranges of financial assets. It is assumed that the p…