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|a Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence
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|a I adopt a regime shift model to investigate a shift of distribution of each regime during a time series data. Unlike previous studies, I applied three types of distribution to use a regime shift model, i.e., normal, GEV and stable distribution, which allows me to consider a heavy tail regime in the model. From some theoretical basis and empirical results, I find that the regime shift model in stable distribution is best appropriate. I also find that tail index of the innovation and dependence measure move together, implying dependence among a consecutive data may lead extreme event and vice versa
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Electronic Resources |
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Kim, Jeongwoo |
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Kim, Jeongwoo |
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aut |
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Kim, Jeongwoo |
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j k jk |
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ZDB-33-SFEN, lfer |
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I adopt a regime shift model to investigate a shift of distribution of each regime during a time series data. Unlike previous studies, I applied three types of distribution to use a regime shift model, i.e., normal, GEV and stable distribution, which allows me to consider a heavy tail regime in the model. From some theoretical basis and empirical results, I find that the regime shift model in stable distribution is best appropriate. I also find that tail index of the innovation and dependence measure move together, implying dependence among a consecutive data may lead extreme event and vice versa |
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10.2139/ssrn.2481956 |
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Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 17, 2014 erstellt |
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[S.l.], SSRN, [2014] |
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[S.l.]: SSRN, [2014] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Kim, Jeongwoo aut, Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence, [S.l.] SSRN [2014], 1 Online-Ressource (14 p), Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 17, 2014 erstellt, Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 unrestricted online access, I adopt a regime shift model to investigate a shift of distribution of each regime during a time series data. Unlike previous studies, I applied three types of distribution to use a regime shift model, i.e., normal, GEV and stable distribution, which allows me to consider a heavy tail regime in the model. From some theoretical basis and empirical results, I find that the regime shift model in stable distribution is best appropriate. I also find that tail index of the innovation and dependence measure move together, implying dependence among a consecutive data may lead extreme event and vice versa, https://ssrn.com/abstract=2481956 X:ELVSSRN Verlag kostenfrei, https://doi.org/10.2139/ssrn.2481956 X:ELVSSRN Resolving-System kostenfrei, https://doi.org/10.2139/ssrn.2481956 LFER, https://ssrn.com/abstract=2481956 LFER, LFER 2022-10-21T17:56:35Z |
| spellingShingle |
Kim, Jeongwoo, Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence, I adopt a regime shift model to investigate a shift of distribution of each regime during a time series data. Unlike previous studies, I applied three types of distribution to use a regime shift model, i.e., normal, GEV and stable distribution, which allows me to consider a heavy tail regime in the model. From some theoretical basis and empirical results, I find that the regime shift model in stable distribution is best appropriate. I also find that tail index of the innovation and dependence measure move together, implying dependence among a consecutive data may lead extreme event and vice versa |
| title |
Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence |
| title_auth |
Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence |
| title_full |
Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence |
| title_fullStr |
Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence |
| title_full_unstemmed |
Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence |
| title_short |
Regime Shift Model by Three Types of Distribution Considering a Heavy Tail and Dependence |
| title_sort |
regime shift model by three types of distribution considering a heavy tail and dependence |
| url |
https://ssrn.com/abstract=2481956, https://doi.org/10.2139/ssrn.2481956 |
