Adaptive Models and Heavy Tails
نویسندگان
چکیده
منابع مشابه
Dynamic Models for Volatility and Heavy Tails
The aim of this monograph is to set out a uni ed and comprehensive theory for a class of nonlinear time series models that can deal with distributions that change over time. The emphasis is models in which the conditional distribution of an observation may be heavy-tailed and the location and/or scale changes over time. The de ning feature of these models is that the dynamics are driven by the ...
متن کاملLeverage, heavy-tails and correlated jumps in stochastic volatility models
This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based...
متن کاملSelf-similar Communication Models and Very Heavy Tails
Several studies of le sizes either being downloaded or stored in the world wide web have commented that tails can be so heavy that not only are variances innnite, but so are means. Motivated by this fact, we study the innnite node Poisson model under the assumption that transmission times are heavy tailed with innnite mean. The model is unstable but we are able to provide growth rates. Self-sim...
متن کاملInference with Multivariate Heavy-Tails in Linear Models
Heavy-tailed distributions naturally occur in many real life problems. Unfortunately, it is typically not possible to compute inference in closed-form in graphical models which involve such heavy-tailed distributions. In this work, we propose a novel simple linear graphical model for independent latent random variables, called linear characteristic model (LCM), defined in the characteristic fun...
متن کاملHeavy Tails of Ols
Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving nancial data. We derive explicit nite sample expressions for the tail probabilities of the distribution of the OLS estimator. These are useful for inference. Simulations for medium ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2777989