Structural Laplace Transform and Compound Autoregressive Models

Serge Darolles (), Christian Gourieroux and Joann Jasiak
Additional contact information
Serge Darolles: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Christian Gourieroux: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

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.

Keywords: Nonlinear dynamics; Laplace transform; nonlinear canonical analysis; affine term structure; value at risk; Wishart autoregressive process (search for similar items in EconPapers)
Date: 2006-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (43)

Published in Joural of Time Series Analysis, 2006, 27 (4), pp.477-503. ⟨10.1111/j.1467-9892.2006.00479.x⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Structural Laplace Transform and Compound Autoregressive Models (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00678240

DOI: 10.1111/j.1467-9892.2006.00479.x

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().