Local explosion modelling by non-causal process

The non-causal auto-regressive process with heavy-tailed errors has non-linear causal dynamics, which allow for local explosion or asymmetric cycles that are often observed in economic and financial time series. It provides a new model for multiple local explosions in a strictly stationary framework...

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Vydané v:	Journal of the Royal Statistical Society. Series B, Statistical methodology Ročník 79; číslo 3; s. 737 - 756
Hlavní autori:	Gourieroux, Christian, Zakoian, Jean-Michel
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Oxford John Wiley & Sons Ltd 01.06.2017 Oxford University Press
Predmet:	Asymmetry Asymptotic properties Autocorrelation Autoregressive processes Behavior Cauchy problems Causal innovation Causality Correlation analysis Diagnostic systems diagnostic techniques Diagnostic tests Economic models Economics equations Errors Explosions Explosive bubble Global local relationship Heavy‐tailed errors Mathematical models NASDAQ trading Nonlinear dynamics Non‐causal process Price indexes prices Regression analysis Samples Stable process Statistical methods Statistics Stock market indexes Studies Time series time series analysis
ISSN:	1369-7412, 1467-9868
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Popis
Shrnutí:	The non-causal auto-regressive process with heavy-tailed errors has non-linear causal dynamics, which allow for local explosion or asymmetric cycles that are often observed in economic and financial time series. It provides a new model for multiple local explosions in a strictly stationary framework. The causal predictive distribution displays surprising features, such as higher moments than for the marginal distribution, or the presence of a unit root in the Cauchy case. Aggregating such models can yield complex dynamics with local and global explosion as well as variation in the rate of explosion. The asymptotic behaviour of a vector of sample auto-correlations is studied in a semiparametric non-causal AR(1) framework with Pareto-like tails, and diagnostic tests are proposed. Empirical results based on the Nasdaq composite price index are provided.
Bibliografia:	SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 14 ObjectType-Article-1 ObjectType-Feature-2 content type line 23
ISSN:	1369-7412 1467-9868
DOI:	10.1111/rssb.12193