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Autoregressive gamma processes

Author

Listed:
  • Joann Jasiak

    (York University, Canada)

  • Christian Gourieroux

    (CREST, CEPREMAP and University of Toronto, Canada)

Abstract

We introduce a class of autoregressive gamma processes with conditional distributions from the family of noncentred gamma (up to a scale factor). The paper provides the stationarity and ergodicity conditions for ARG processes of any autoregressive order p , including long memory, and closed-form expressions of conditional moments. The nonlinear state space representation of an ARG process is used to derive the filtering, smoothing and forecasting algorithms. The paper also presents estimation and inference methods, illustrated by an application to interquote durations data on an infrequently traded stock listed on the Toronto Stock Exchange (TSX). Copyright © 2006 John Wiley & Sons, Ltd.

Suggested Citation

  • Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
  • Handle: RePEc:jof:jforec:v:25:y:2006:i:2:p:129-152
    DOI: 10.1002/for.978
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    References listed on IDEAS

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    1. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    3. repec:dau:papers:123456789/5478 is not listed on IDEAS
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