{"id":"https://openalex.org/W2805601102","doi":"https://doi.org/10.16929/as/1645.126","title":"A negative binomial mixture integer-valued GARCH model","display_name":"A negative binomial mixture integer-valued GARCH model","publication_year":2018,"publication_date":"2018-04-01","ids":{"openalex":"https://openalex.org/W2805601102","doi":"https://doi.org/10.16929/as/1645.126","mag":"2805601102"},"language":"ca","primary_location":{"id":"doi:10.16929/as/1645.126","doi":"https://doi.org/10.16929/as/1645.126","is_oa":true,"landing_page_url":"https://doi.org/10.16929/as/1645.126","pdf_url":"https://doi.org/10.16929/as/1645.126","source":{"id":"https://openalex.org/S4210229953","display_name":"Afrika Statistika","issn_l":"0852-0305","issn":["0852-0305","2316-090X"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":["anvur-scientific","jpps-1"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Afrika statistika","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://doi.org/10.16929/as/1645.126","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5067227486","display_name":"Mamadou Lamine Diop","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mamadou Lamine Diop","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5062734824","display_name":"Aliou Diop","orcid":"https://orcid.org/0000-0002-0808-5622","observed_orcids":["https://orcid.org/0000-0002-0808-5622"]},"institutions":[{"id":"https://openalex.org/I112713213","display_name":"Universit\u00e9 Gaston Berger","ror":"https://ror.org/01jp0tk64","country_code":"SN","type":"education","lineage":["https://openalex.org/I112713213"]}],"countries":["SN"],"is_corresponding":false,"raw_author_name":"Aliou Diop","raw_affiliation_strings":["LERSTAD , Universit\u00e9 Gaston Berger , BP 234 Saint-Louis , S\u00e9n\u00e9gal"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LERSTAD , Universit\u00e9 Gaston Berger , BP 234 Saint-Louis , S\u00e9n\u00e9gal","institution_ids":["https://openalex.org/I112713213"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5108544841","display_name":"Abdou K\u00e2 Diongue","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Abdou K\u00e2 Diongue","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.6538,"has_fulltext":true,"cited_by_count":10,"citation_normalized_percentile":{"value":0.85783931,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"13","issue":"2","first_page":"1645","last_page":"1666"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8349999785423279,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8349999785423279,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11901","display_name":"Bayesian Methods and Mixture Models","score":0.07859999686479568,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.03680000081658363,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/integer-valued-garch","display_name":"integer-valued GARCH","score":0.9929999709129333},{"id":"https://openalex.org/keywords/count-time-series","display_name":"count time series","score":0.8579999804496765},{"id":"https://openalex.org/keywords/overdispersion","display_name":"overdispersion","score":1.0},{"id":"https://openalex.org/keywords/multimodality","display_name":"multimodality","score":0.6809999942779541},{"id":"https://openalex.org/keywords/stationarity-conditions","display_name":"stationarity conditions","score":0.9179999828338623},{"id":"https://openalex.org/keywords/expectation-maximization-algorithm","display_name":"expectation-maximization algorithm","score":0.7630000114440918},{"id":"https://openalex.org/keywords/information-criteria","display_name":"information criteria","score":0.6200000047683716}],"concepts":[{"id":"https://openalex.org/C199335787","wikidata":"https://www.wikidata.org/wiki/Q743364","display_name":"Negative binomial distribution","level":3,"score":0.7086421847343445},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6529172658920288},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5956937670707703},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5489434003829956},{"id":"https://openalex.org/C97137487","wikidata":"https://www.wikidata.org/wiki/Q729138","display_name":"Integer (computer science)","level":2,"score":0.5065547227859497},{"id":"https://openalex.org/C2781315470","wikidata":"https://www.wikidata.org/wiki/Q193623","display_name":"Binomial (polynomial)","level":2,"score":0.4698556661605835},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.45819079875946045},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1815711259841919},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.08701178431510925},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.08019334077835083},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.16929/as/1645.126","doi":"https://doi.org/10.16929/as/1645.126","is_oa":true,"landing_page_url":"https://doi.org/10.16929/as/1645.126","pdf_url":"https://doi.org/10.16929/as/1645.126","source":{"id":"https://openalex.org/S4210229953","display_name":"Afrika Statistika","issn_l":"0852-0305","issn":["0852-0305","2316-090X"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":["anvur-scientific","jpps-1"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Afrika statistika","raw_type":"journal-article"},{"id":"pmh:oai:CULeuclid:euclid.as/1528336825","doi":null,"is_oa":false,"landing_page_url":"https://projecteuclid.org/euclid.as/1528336825","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.16929/as/1645.126","doi":"https://doi.org/10.16929/as/1645.126","is_oa":true,"landing_page_url":"https://doi.org/10.16929/as/1645.126","pdf_url":"https://doi.org/10.16929/as/1645.126","source":{"id":"https://openalex.org/S4210229953","display_name":"Afrika Statistika","issn_l":"0852-0305","issn":["0852-0305","2316-090X"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":["anvur-scientific","jpps-1"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Afrika statistika","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2805601102.pdf","grobid_xml":"https://content.openalex.org/works/W2805601102.grobid-xml"},"referenced_works_count":16,"referenced_works":["https://openalex.org/W1579271636","https://openalex.org/W1965792011","https://openalex.org/W1995765128","https://openalex.org/W2007823757","https://openalex.org/W2025045431","https://openalex.org/W2025987639","https://openalex.org/W2029819426","https://openalex.org/W2032051534","https://openalex.org/W2044121999","https://openalex.org/W2108200697","https://openalex.org/W2121024352","https://openalex.org/W2142499857","https://openalex.org/W2151540825","https://openalex.org/W2153552426","https://openalex.org/W2230681710","https://openalex.org/W2323462402"],"related_works":["https://openalex.org/W2151540825","https://openalex.org/W4221131697","https://openalex.org/W2736548100","https://openalex.org/W1985284584","https://openalex.org/W3194331430","https://openalex.org/W2771896233","https://openalex.org/W2279922475","https://openalex.org/W2439046509","https://openalex.org/W4411749766","https://openalex.org/W1981944325"],"abstract_inverted_index":{"This":[0],"paper":[1],"generalizes":[2],"the":[3,50,54,63,75,101],"negative":[4,12,40],"binomial":[5,13,41],"integer-valued":[6,15,42],"GARCH":[7,16,43],"model":[8,102],"(NBINGARCH)":[9],"to":[10,56,62,73],"a":[11,33],"mixture":[14,34],"(NB-MINGARCH)":[17],"for":[18],"modeling":[19],"time":[20],"series":[21],"of":[22,26,29,32,35,46,68,78,92],"counts":[23],"with":[24],"presence":[25],"overdispersion.This":[27],"class":[28,67],"models":[30,48,52,69],"consists":[31],"K":[36],"stationary":[37],"or":[38],"non-stationary":[39],"components.The":[44],"advantage":[45],"these":[47],"over":[49],"NBINGARCH":[51],"includes":[53],"ability":[55],"handle":[57],"multimodality":[58],"and":[59,81,84,100,111],"nonstationary":[60],"components.Compared":[61],"MINGARCH":[64],"models,":[65],"this":[66],"is":[70,94,103],"more":[71],"flexible":[72],"describe":[74],"greater":[76],"degrees":[77],"overdispersion.The":[79],"necessary":[80],"sufficient":[82],"first":[83],"second":[85],"order":[86],"stationarity":[87],"conditions":[88],"are":[89,115],"investigated.The":[90],"estimation":[91],"parameters":[93],"done":[95],"through":[96],"an":[97],"EM":[98],"algorithm":[99],"selected":[104],"by":[105],"some":[106],"information":[107],"criterions.Some":[108],"simulation":[109],"results":[110],"real":[112],"data":[113],"application":[114],"provided.":[116]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2026-10-07T09:51:55.459714","created_date":"2018-06-13T00:00:00"}
