Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models

(2015) Siem Jan Koopman et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

A skew INAR(1) process on $${\mathbb {Z}}$$ Z

(2014) Wagner Barreto-Souza et al.   AStA-Advances in Statistical Analysis

A parametric time series model with covariates for integers in Z

(2014) Jonas Andersson et al.   STATISTICAL MODELLING

Integer-valued Lévy processes and low latency financial econometrics

(2012) Ole E. Barndorff-Nielsen et al.   QUANTITATIVE FINANCE

True integer value time series

(2010) R. Keith Freeland   AStA-Advances in Statistical Analysis

Ultra high frequency volatility estimation with dependent microstructure noise

(2010) Yacine Aït-Sahalia et al.   JOURNAL OF ECONOMETRICS

A p-Order signed integer-valued autoregressive (SINAR(p)) model

(2010) M. Kachour et al.   JOURNAL OF TIME SERIES ANALYSIS

Impact of the tick-size on financial returns and correlations

(2010) Michael C. Münnix et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Inference for processes with signed generalized power series thinning operator

(2009) Haixiang Zhang et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

Testing the assumptions behind importance sampling

(2008) Siem Jan Koopman et al.   JOURNAL OF ECONOMETRICS