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Generalized autoregressive gamma processes / by Bruno Feunou.: FB3-5/2023-40E-PDF

"We introduce generalized autoregressive gamma (GARG) processes, a class of autoregressive and moving-average processes that extends the class of existing autoregressive gamma (ARG) processes in one important dimension: each conditional moment dynamic is driven by a different and identifiable moving average of the variable of interest"--Abstract.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.927579&sl=0

Publication information
Department/Agency
  • Bank of Canada, issuing body.
TitleGeneralized autoregressive gamma processes / by Bruno Feunou.
Series title
  • Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-40
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • "Last updated: August 2, 2023."
  • Includes bibliographical references
  • Includes abstract in French.
Publishing information
  • [Ottawa] : Bank of Canada = Banque du Canada, 2023.
  • ©2023
Author / Contributor
  • Feunou, Bruno, author.
Description1 online resource (ii, 41 pages) : charts.
Catalogue number
  • FB3-5/2023-40E-PDF
Subject terms
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