Structural Laplace Transform and Compound Autoregressive Models
Darolles, Serge; Gouriéroux, Christian; Jasiak, Joann (2006), Structural Laplace Transform and Compound Autoregressive Models, Journal of Time Series Analysis, 27, 4, p. 477-503
Type
Article accepté pour publication ou publiéDate
2006-07Journal name
Journal of Time Series AnalysisVolume
27Number
4Publisher
Blackwell
Pages
477-503
Metadata
Show full item recordAbstract (EN)
This paper presents a new general class of compound autoregressive (Car) models for non-Gaussian time series. The distinctive feature of the class is that Car models are specified by means of the conditional Laplace transforms. This approach allows for simple derivation of the ergodicity conditions and ensures the existence of forecasting distributions in closed form, at any horizon. The last property is of particular interest for applications to finance and economics that investigate the term structure of variables and/or of their nonlinear transforms. The Car class includes a number of time-series models that already exist in the literature, as well as new models introduced in this paper. Their applications are illustrated by examples of portfolio management, term structure and extreme risk analysis.Subjects / Keywords
Nonlinear dynamics; Laplace transform; nonlinear canonical analysis; affine term structure; value at risk; Wishart autoregressive processRelated items
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