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Dergiler / International Econometric Review / 2018 / Cilt: 10 - Sayı: 1

Infinite-Variance Error Structure in Finance and Economics

Fatma Özgü SERTTAŞ
Sayfa
14–23
Yayın Tarihi
2018-04-16
DOI
—
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

This study aims to briefly introduce the reader the concept of infinite-variance stable distributions, discuss some existing studies on unit root and co-integration tests that assume infinite-variance stable error structure, and then to point out the potential lines of research while showing the significance of this relatively new concept.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Many macroeconomic and financial data exhibit large outliers and high volatility so that their returns are usually modeled to follow an infinite-variance stable process.
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Temel Bulgular & Veri:Extreme behaviors in such data tend to exist especially for emerging markets due to frequent existence of high economic turmoil.
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Sonuç & Katkı:This study aims to briefly introduce the reader the concept of infinite-variance stable distributions, discuss some existing studies on unit root and co-integration tests that assume infinite-variance stable error structure, and then to point out the potential lines of research while showing the significance of this relatively new concept.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Infinite-variance errors · Stable distributions · Financial returns

Abstract

Many macroeconomic and financial data exhibit large outliers and high volatility so that their returns are usually modeled to follow an infinite-variance stable process. Extreme behaviors in such data tend to exist especially for emerging markets due to frequent existence of high economic turmoil. A relatively new area of research studies that model the financial returns as infinite-variance stable errors exists for emerging markets as well as for industrialized countries. This study aims to briefly introduce the reader the concept of infinite-variance stable distributions, discuss some existing studies on unit root and co-integration tests that assume infinite-variance stable error structure, and then to point out the potential lines of research while showing the significance of this relatively new concept.

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Bu Makaleye Atıf Yap

SERTTAŞ, F. Ö. (2018). Infinite-Variance Error Structure in Finance and Economics. International Econometric Review, Cilt: 10 - Sayı: 1, 14–23. https://ajindex.com/articles/832141

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Kaynakça (14)

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