Autoregressive gamma processes
Article first published online: 6 FEB 2006
Copyright © 2005 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 25, Issue 2, pages 129–152, March 2006
How to Cite
Gourieroux, C. and Jasiak, J. (2006), Autoregressive gamma processes. J. Forecast., 25: 129–152. doi: 10.1002/for.978
- Issue published online: 21 MAR 2006
- Article first published online: 6 FEB 2006
- intertrade durations;
- autoregressive gamma;
- high frequency
We introduce a class of autoregressive gamma processes with conditional distributions from the family of noncentred gamma (up to a scale factor). The paper provides the stationarity and ergodicity conditions for ARG processes of any autoregressive order p, including long memory, and closed-form expressions of conditional moments. The nonlinear state space representation of an ARG process is used to derive the filtering, smoothing and forecasting algorithms. The paper also presents estimation and inference methods, illustrated by an application to interquote durations data on an infrequently traded stock listed on the Toronto Stock Exchange (TSX). Copyright © 2006 John Wiley & Sons, Ltd.