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Journal Time Series Analysis - 2006 - Darolles - Structural Laplace Transform and Compound Autoregressive Models by eiurfioerusdfoersidufew is a document available to read on EtoBox.

What is Journal Time Series Analysis - 2006 - Darolles - Structural Laplace Transform and Compound Autoregressive Models about?

This paper introduces a new class of compound autoregressive (Car) models for non-Gaussian time series, specified using conditional Laplace transforms. This approach simplifies the derivation of ergodicity conditions and allows for closed-form forecasting distributions, making it particularly useful in finance and economics. The Car class encompasses existing models and new ones, with applications in portfolio management, term structure analysis, and extreme risk assessment.

Author

eiurfioerusdfoersidufew

Language

EN