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UID:20251113T235344EST-0067tZBLNx@132.216.98.100
DTSTAMP:20251114T045344Z
DESCRIPTION:Title: Generalized Autoregressive Positive-Valued Processes.\n
 \nAbstract: We introduce generalized autoregressive positive-valued (GARP)
  processes\, a class of autoregressive and moving-average processes that e
 xtends the class of existing autoregressive positive-valued (ARP) processe
 s 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 presen
 ts estimation and inference methods\, illustrated by an application to Eur
 opean option pricing where the daily realized variance follows a GARP dyna
 mic. Our results show that using GARP processes reduces pricing errors by 
 substantially more than using ARP processes\n\nLocation:  University of Ot
 tawa\, Exceptionally\, this colloquium will take place in STEM 464\n
DTSTART:20251113T180000Z
DTEND:20251113T190000Z
SUMMARY:Bruno Feunou Kamkui (Bank of Canada)
URL:/biology/channels/event/bruno-feunou-kamkui-bank-c
 anada-368794
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