We introduce a class of autoregressive gamma processes with conditional distributions from the family of noncentered 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...

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as...

This paper proposes a new time-deformation model for stock returns sampled in transaction time and directed by a generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent autoregressive process. Parameter estimation in the model is...