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A Meta-Distribution for Non-Stationary Samples

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Author Info
Dominique Guégan () (PSE, Centre d’Economie de la Sorbonne, University Paris1 Panthéon-Sorbonne)

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Abstract

In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory effect, we build a sequence of stationary processes permitting to define the concept of meta-distribution for a given non-stationary sample. We use this new approach to discuss some interesting econometric issues in a non-stationary setting, namely forecasting and risk management strategy.

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Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-24.

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Length: 23
Date of creation: 01 Jun 2009
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Handle: RePEc:aah:create:2009-24

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: Non-Stationarity; Copula; Long-memory; Switching; Cumulants; Estimation theory;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July. [Downloadable!] (restricted)
  2. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October. [Downloadable!] (restricted)
  3. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
    Other versions:
  4. Ohanissian, Arek & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "True or Spurious Long Memory? A New Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 161-175, April. [Downloadable!] (restricted)
  5. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  6. Cyril Caillault & Dominique Guegan, 2005. "Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets," Post-Print halshs-00180865_v1, HAL. [Downloadable!]
    Other versions:
  7. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long-range dependencies," Journal of Time Series Analysis, Blackwell Publishing, vol. 30(3), pages 263-285, 05. [Downloadable!] (restricted)
    Other versions:
  8. Dominique Guegan & Pierre-André Maugis, 2008. "Note on new prospects on vines," Documents de travail du Centre d'Economie de la Sorbonne b08095, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
    Other versions:
  9. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or Long Memory Behaviour : An empirical Investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00377485_v1, HAL. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-27.

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