Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility
伽马驱动马尔可夫过程及其扩展：已实现波动率应用
We propose a novel class of Markov processes for dealing with continuous positive time series data, which is constructed based on a latent gamma effect and named gamma-driven (GD) models.The GD processes possess desirable properties and features: (i) it can produce any desirable invariant distribution with support on R + , (ii) it is time-reversible, and (iii) it has the transition density function given in an explicit form.Estimation of parameters is performed through the…