Thin and heavy tails in stochastic programming

Leverage, 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...

Rare Events and Heavy Tails in Stochastic Systems

This is a set of lecture notes on large deviations and heavy tails in stochastic systems. After an introduction, a short and biased review on heavy-tailed distribution is given. Applications are mostly concerned with stochastic networks, and cover single-server queues, regenerative processes, and fluid models.

Perpetuities with Thin Tails

Heavy 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 ...

Fat Tails, Thin Tails, and Climate Change Policy

How much environmental damage would result from unabated water pollution, greenhouse gas (GHG) emissions, toxic waste disposal, and other potentially destructive activities? And whatever that environmental damage is expected to be, what economic and social cost will it have? In other words, what is the benefit of taking costly actions today or in the near future to reduce rates of pollution and...