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25-004/III - Copula tensor count autoregressions

  • Authors
    Mirko Armillotta, University of Rome Tor Vergata; Paolo Gorgi, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam
  • Publication date
    February 5, 2025
  • Keywords
    tensor INGARCH, parameter identification, reduced-rank, quasi-likelihood, two-stage estimator
  • JEL
    C32, C55
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