CAR AND AFFINE PROCESSES

Christian Gourieroux

Chapter 4 in Econometric Forecasting and High-Frequency Data Analysis, 2008, pp 131-158 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionCompound Autoregressive Processes and Affine ProcessesThe Gaussian Autoregressive ProcessDefinition of a Car ProcessMarginal DistributionNonlinear Prediction FormulasCompounding InterpretationInteger Autoregressive ProcessNonnegative Continuous VariablesContinuous Time Affine ProcessesAutoregressive Gamma ProcessGamma DistributionCentered Gamma DistributionNoncentered Gamma DistributionChange of scaleThe Autoregressive Gamma ProcessNonlinear Prediction FormulaLink with the Cox, Ingersoll, Ross ProcessExtensionsAutoregressive gamma process of order pWishart Autoregressive ProcessThe Outer Product of a Gaussian VAR(1) ProcessExtension to Stochastic Positive Definite MatricesConditional MomentsContinuous Time AnalogueStructural ApplicationsDerivative PricingAffine Term StructuresCorporate BondsStock DerivativesConcluding RemarksReferencesAppendix 1Prediction Formula

Keywords: Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis (search for similar items in EconPapers)
JEL-codes: C4 C5 C7 (search for similar items in EconPapers)
Date: 2008
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