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Car And Affine Processes

In: Econometric Forecasting And High-Frequency Data Analysis

Author

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  • Christian Gourieroux

    (CREST, Laboratoire de Finance-Assurance, 33, Bd. G. Peri, 92245 Malakoff, France and CEPREMAP, Ecole Normale Supérieure (ENS), 48, Boulevard Jourdan, 75014 Paris, France and Department of Economics, University of Toronto, 150, St. George Street, Toronto, Ontanio M5S 3G7, Canada)

Abstract

The following sections are included:IntroductionCompound Autoregressive Processes and Affine ProcessesThe Gaussian Autoregressive ProcessDefinition of a Car ProcessMarginal DistributionNonlinear Prediction FormulasCompounding InterpretationInteger Autoregressive ProcessNonnegative Continuous VariablesContinuous Time Affine ProcessesAutoregressive Gamma ProcessGamma DistributionCentered Gamma DistributionNoncentered Gamma DistributionChange of scaleThe Autoregressive Gamma ProcessNonlinear Prediction FormulaLink with the Cox, Ingersoll, Ross ProcessExtensionsAutoregressive gamma process of order pWishart Autoregressive ProcessThe Outer Product of a Gaussian VAR(1) ProcessExtension to Stochastic Positive Definite MatricesConditional MomentsContinuous Time AnalogueStructural ApplicationsDerivative PricingAffine Term StructuresCorporate BondsStock DerivativesConcluding RemarksReferencesAppendix 1Prediction Formula

Suggested Citation

  • Christian Gourieroux, 2008. "Car And Affine Processes," World Scientific Book Chapters, in: Roberto S Mariano & Yiu-Kuen Tse (ed.), Econometric Forecasting And High-Frequency Data Analysis, chapter 4, pages 131-158, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812778963_0004
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    More about this item

    Keywords

    Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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