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A Meta-Distribution for Non-Stationary Samples

Author

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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.

Suggested Citation

  • Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2009-24
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    File URL: https://repec.econ.au.dk/repec/creates/rp/09/rp09_24.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Non-Stationarity; Copula; Long-memory; Switching; Cumulants; Estimation theory;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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