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A Meta-Distribution for Non-Stationary Samples

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  • Dominique Guégan

    ()
    (PSE, Centre d’Economie de la Sorbonne, University Paris1 Panthéon-Sorbonne)

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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Bibliographic 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
Date of revision:
Handle: RePEc:aah:create:2009-24

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

Related research

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

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References

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  1. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00368334, HAL.
  2. Cyril Caillault & Dominique Guegan, 2005. "Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets," Post-Print, HAL halshs-00180865, HAL.
  3. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 185-215, July.
  4. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 36, pages 394.
  5. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  7. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00375765, HAL.
  8. Dominique Guegan, 2004. "How Can We Define the Long Memory Concept? An Econometric Survey," Econometric Society 2004 Australasian Meetings, Econometric Society 361, Econometric Society.
  9. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-381, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  10. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or long memory behaviour : An empirical investigation," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 09022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  11. Dominique Guegan & Pierre-André Maugis, 2010. "New Prospects on Vines," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00348884, HAL.
  12. 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, American Statistical Association, vol. 22, pages 382-395, October.
  13. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics, EconWPA 0411016, EconWPA.
  14. A. W. Coats, 1996. "Introduction," History of Political Economy, Duke University Press, Duke University Press, vol. 28(5), pages 3-11, Supplemen.
  15. 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, American Statistical Association, vol. 26, pages 161-175, April.
  16. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 95(1), pages 119-152, July.
  17. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 14(2), pages 227-238, October.
  18. Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics, EconWPA 0412005, EconWPA.
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