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000000701 041__ $$aeng
000000701 245__ $$a(Supplemental Material for) Generalized Autoregressive Positive-valued Processes
000000701 251__ $$a2
000000701 260__ $$bFigshare
000000701 269__ $$a2023-09-21
000000701 336__ $$aDataset
000000701 506__ $$aFiles may be downloaded from digital repository linked in the DOI field
000000701 520__ $$aWe 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.$$7Abstract
000000701 540__ $$aCreative Commons Attribution 4.0 International$$uhttps://creativecommons.org/licenses/by/4.0/legalcode$$fCC-BY-4.0
000000701 7001_ $$aFeunou, Bruno$$7Personal$$1https://orcid.org/0000-0001-8023-0161$$2ORCID$$uBank of Canada$$3https://ror.org/05cc98565$$5ROR
000000701 791__ $$2DOI$$iReproducibility package is associated with peer-reviewed article$$tGeneralized Autoregressive Positive-valued Processes$$dJournal of Business & Economic Statistics (Taylor & Francis)$$w10.1080/07350015.2023.2239869$$j42$$k2$$aJournalArticle$$eIsSupplementTo
000000701 791__ $$2DOI$$w10.34989/swp-2023-40$$iAssociated article is first published as Bank of Canada Staff Working Paper$$dBank of Canada$$tGeneralized Autoregressive Gamma Processes$$jStaff Working Paper$$k2023-40$$aText$$eIsSupplementTo
000000701 791__ $$aDataset$$w10.6084/m9.figshare.23744123.v1$$2DOI$$iDataset is update to an earlier version$$eIsNewVersionOf$$c2023-07-25$$dFigshare$$tGeneralized Autoregressive Positive-valued Processes
000000701 8301_ $$aReproducibility Package
000000701 8301_ $$aEnsemble de données pour la reproductibilité des résultats de recherche
000000701 909CO $$ooai:www.oar-rao.bank-banque-canada.ca:701$$pbibliographic
000000701 937__ $$aFeunou, B$$b2023$$cGeneralized Autoregressive Positive-valued Processes$$dJournal of Business & Economic Statistics$$e42$$f2$$ghttps://doi.org/10.1080/07350015.2023.2239869
000000701 980__ $$aStaff Research
000000701 980__ $$aRDM
000000701 980__ $$aResearch Reproducibility Packages
000000701 991__ $$aPublic