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
TypeArticle accepté pour publication ou publié
Journal nameJournal of Time Series Analysis
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Abstract (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 / KeywordsNonlinear dynamics; Laplace transform; nonlinear canonical analysis; affine term structure; value at risk; Wishart autoregressive process
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