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stat.ME2021
Estimation of Poisson Autoregressive Model for Multiple Time Series
Paolo Victor T. Redondo, Joseph Ryan G. Lansangan, Erniel B. Barrios
A Poisson autoregressive (PAR) model accounting for discreteness and autocorrelation of count time series data is typically estimated in the state-space modelling framework through…
q-fin.ST2021★ 2 cited
Nonparametric Test for Volatility in Clustered Multiple Time Series
Erniel B. Barrios, Paolo Victor T. Redondo
Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (re…