Generalized Autoregressive Positive-valued Processes

DOI10.1080/07350015.2023.2239869MaRDI QIDQ6626246zbMATH OpenFDO

Authors Bruno Feunou

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2023.2239869

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A theory of the term structure of interest rates
• Autoregressive Conditional Density Estimation
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Derivative pricing with Wishart multivariate stochastic volatility
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• Option valuation with conditional skewness
• Smile from the past: a general option pricing framework with multiple volatility and leverage components
• Staying at zero with affine processes: an application to term structure modelling
• Structural Laplace Transform and Compound Autoregressive Models
• The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
• The Volatility of Realized Volatility
• The Wishart autoregressive process of multivariate stochastic volatility

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