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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. repec:hal:cesptp:halshs-00377485 is not listed on IDEAS
  2. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  3. 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.
  4. repec:hal:cesptp:halshs-00375765 is not listed on IDEAS
  5. Dominique Guégan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Cahiers de la Maison des Sciences Economiques b06090, Université Panthéon-Sorbonne (Paris 1).
  6. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-381, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. repec:hal:cesptp:halshs-00348884 is not listed on IDEAS
  8. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  9. Cyril Caillault & Dominique Guegan, 2005. "Empirical estimation of tail dependence using copulas: application to Asian markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 489-501.
  10. Dominique Guegan, 2004. "How Can We Define the Long Memory Concept? An Econometric Survey," Econometric Society 2004 Australasian Meetings 361, Econometric Society.
  11. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
  12. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
  13. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
  14. 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.
  15. Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, EconWPA.
  16. A. W. Coats, 1996. "Introduction," History of Political Economy, Duke University Press, vol. 28(5), pages 3-11, Supplemen.
  17. Dominique Guegan & Pierre-André Maugis, 2008. "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, revised Mar 2010.
  18. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
  19. Cyril Caillault, Dominique Guégan, 2009. "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
  20. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
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