Global and local stationary modelling in finance: theory and empirical evidence

Dominique Guegan
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Dominique Guegan: Centre d'Economie de la Sorbonne

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation function and give several examples of models for which spurious behaviors is created by this fact. It concerns Markov switching processes, Stopbreak models and SETAR processes. Then, new strategies are suggested to study locally these data sets. We propose first a test based on the k-the cumulants and mainly the construction of a meta-distribution based on copulas for the data set which will permit to take into account all the non-stationarities. This approach suggests that we can be able to do risk management for portfolio containing non stationary assets and also to obtain the distribution function of some specific models

Keywords: Non-stationarity; distribution function; copula; long-memory; switching; SETAR; Stopbreak models; cumulants; estimation (search for similar items in EconPapers)
JEL-codes: C32 C51 G12 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2007-04
New Economics Papers: this item is included in nep-cfn, nep-ecm, nep-ets and nep-rmg
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Citations: View citations in EconPapers (1)

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https://shs.hal.science/halshs-00187875 (application/pdf)

Related works:
Working Paper: Global and local stationary modelling in finance: theory and empirical evidence (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b07053

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