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Structural Laplace Transform and Compound Autoregressive Models

Structural Laplace Transform and Compound Autoregressive Models Abstract. 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Time Series Analysis Wiley

Structural Laplace Transform and Compound Autoregressive Models

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References (45)

Publisher
Wiley
Copyright
Copyright © 2006 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0143-9782
eISSN
1467-9892
DOI
10.1111/j.1467-9892.2006.00479.x
Publisher site
See Article on Publisher Site

Abstract

Abstract. 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.

Journal

Journal of Time Series AnalysisWiley

Published: Jul 1, 2006

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