Autoregressive Gamma Processes

By Christian Gouriéroux, Joann Jasiak. 2006

198 citations recorded by the source corpus.

Subfields: Computer Vision and Pattern Recognition, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1c535489ca5bf1a932b2a174a5c1919a95efd6b4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computer Vision and Pattern Recognition

1. Qiang Dai
2. Kenneth J. Singleton
3. Anh Le
4. J. Wu
5. Drew D. Creal
6. Timothy M. Christensen
7. Christian Gouriéroux

In Finance

1. J. Wu
2. Anh Le
3. Drew D. Creal
4. Kenneth J. Singleton
5. Qiang Dai
6. Christian Gouriéroux
7. Timothy M. Christensen
8. Andrew Ang

In Statistics and Probability

1. Drew D. Creal
2. J. Wu
3. Qiang Dai
4. Kenneth J. Singleton
5. Anh Le
6. Timothy M. Christensen
7. Christian Gouriéroux

Citations in the corpus

• Nonparametric stochastic discount factor decomposition (2014, background): “…affine condition can be relaxed but the analysis becomes substantially more complicated. where t+1 is an independent N(0, 1) random variable and ARG(cv, ϕv, δv) is an autoregressive gamma (ARG) process of order 1 which is parameterized by (cv, ϕv, δv) (see Gourieroux and Jasiak (2006) for details).”
• Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, methodology): “…at C hapel H ill on June 24, 2010 http://rfs.oxfordjournals.org D ow nloaded from Discrete-Time AffineQ Term Structure Models with Generalized Market Prices of Risk 3.1 DAQN (N) The scalar case N = 1 was explored in depth in Gourieroux and Jasiak (2006) and Darolles, Gourieroux, and Jasiak (2006).”
• Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, methodology): “Gouriéroux and Jasiak (2006) built the univariate version of the non-Gaussian process (2)–(4) and Gouriéroux et al. (2002) used it to construct a one factor ATSM. Le et al. (2010) extended the process to allow for multiple factors; their specification under Q is (2)–(4) but with μh = 0 andΣh diagona”
• Realizing smiles: Options pricing with realized volatility (2013, unknown): “This is an important result, since the joint CMGF provides with a complete characterization of the joint conditional (namely, given Ft) transition probability 5The HARGL is, however, easy to simulate, as shown is Gourieroux and Jasiak (2006).”
• Efficient Minimum Distance Estimation with Multiple Rates of Convergence (2012, unknown): “Moreover σ 2 t follows an autoregressive gamma (ARG) process, a discretized version of the square-root process: see Gouriéroux and Jasiak (2006).”
• Asset Pricing with Countercyclical Household Consumption Risk (2017, unknown): “…(D.6), as 10 The ARG(1) process is the exact discrete-time equivalent of the square-root (CIR) process, and is defined as follows (see e.g., Gourieroux and Jasiak (2006)): ( ) ( )1 1 1 1/ | ~ , 0; | ~ / , , 0t t t t t tx y y y x xξ ν ν ρ ξ ρ ξ+ + + +Γ + > Ρ > , where Γ denotes a gamma…”
• Time-varying sparsity in dynamic regression models (2014, unknown): “, 2002; Pitt and Walker, 2005) and later, independently, developed as the autoregressive gamma process by Gourieroux and Jasiak (2006). The conditional density of ψi,t given ψi,t−1 is equal to”
• Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, methodology): “The scalar case N = 1 was explored in depth in Gourieroux and Jasiak (2006) and Darolles, Gourieroux, and Jasiak (2006).”
• Continuous Time Wishart Process for Stochastic Risk (2006, background): “(c) The moment of Laguerre polynomials (see Gourieroux and Jasiak, 2006): EtPn(yt+1), n ∈ ∗ Each set above defines an infinite number of moments conditions.”