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.
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| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Generalized autoregressive gamma processes / by Bruno Feunou. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-40 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| 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. |
| Description | 1 online resource (ii, 41 pages) : charts. |
| Catalogue number |
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| Subject terms | Autoregression (Statistics) Interest rates -- Mathematical models. Autorégression (Statistique) Taux d'intérêt -- Modèles mathématiques. |
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