@article{Positive-valued:701,
      recid = {701},
      author = {Feunou, Bruno},
      title = {(Supplemental Material for) Generalized Autoregressive  Positive-valued Processes},
      publisher = {Figshare},
      address = {2023-09-21},
      abstract = {We introduce generalized autoregressive positive-valued  (GARP) processes, a class of autoregressive and  moving-average processes that extends the class of existing  autoregressive positive-valued (ARP) processes in one  important dimension: each conditional moment dynamic is  driven by a different and identifiable moving average of  the variable of interest. The article provides ergodicity  conditions for GARP processes and derives closed-form  conditional and unconditional moments. The article also  presents estimation and inference methods, illustrated by  an application to European option pricing where the daily  realized variance follows a GARP dynamic. Our results show  that using GARP processes reduces pricing errors by  substantially more than using ARP processes.  <p><p>Supplemental material for peer-reviewed article  published in the Journal of Business & Economic Statistics.  Paper published online September 21, 2023.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/701},
      doi = {https://doi.org/10.6084/m9.figshare.23744123.v2},
}