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dc.contributor.authorDarolles, Serge
dc.contributor.authorGouriéroux, Christian
dc.contributor.authorJasiak, Joann
dc.date.accessioned2012-05-04T11:17:56Z
dc.date.available2012-05-04T11:17:56Z
dc.date.issued2006-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9137
dc.language.isoenen
dc.subjectNonlinear dynamicsen
dc.subjectLaplace transformen
dc.subjectnonlinear canonical analysisen
dc.subjectaffine term structureen
dc.subjectvalue at risken
dc.subjectWishart autoregressive processen
dc.subject.ddc658.1en
dc.subject.classificationjelG12en
dc.subject.classificationjelC53en
dc.titleStructural Laplace Transform and Compound Autoregressive Modelsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherYork University;Canada
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameJournal of Time Series Analysis
dc.relation.isversionofjnlvol27en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2006-07
dc.relation.isversionofjnlpages477-503en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherBlackwellen
dc.subject.ddclabelOrganisation et finances d'entrepriseen


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