Infinite-Variance Error Structure in Finance and Economics
نویسندگان
چکیده
منابع مشابه
Cooperation in Infinite Games: Applications to Finance and Public Economics
Essay 1:Financial Intermediation, Trust, and Asset Values In thin financial markets where intermediation is necessary to facilitate exchange, the intermediary may have an informational advantage in addition to his cost advantage for acquiring the security. If all information is eventually revealed, the intermediary may have an incentive to truthfully reveal the value of the security to a custom...
متن کاملForecasting in Economics and Finance∗
Practices used to address economic forecasting problems have undergone substantial changes over recent years. We review how such changes have influenced the ways in which a range of forecasting questions are being addressed. We also discuss the promises and challenges arising from access to big data. Finally, we review empirical evidence and experience accumulated from the use of forecasting me...
متن کاملChaos in economics and finance
This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be useful in practice to detect the existence of chaotic behavior inside real data sets.
متن کاملAustrian Economics , Neoclassical Economics , Marketing , and Finance
51 WALTER BLOCK is the Harold E. Wirth eminent scholar endowed chair in economics, WILLIAM BARNETT II is associate professor of economics, and STUART WOOD is associate professor of economics and finance at Loyola University, New Orleans. Block would like to thank David Kennedy, Tony Sullivan, and the Board of Directors of the Earhart Foundation for financial support used to write this paper. An...
متن کاملMoving Average Processes with Infinite Variance
The sample autocorrelation function (acf) of a stationary process has played a central statistical role in traditional time series analysis, where the assumption is made that the marginal distribution has a second moment. Now, the classical methods based on acf are not applicable in heavy tailed modeling. Using the codifference function as dependence measure for such processes be shown it be as...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Econometric Review
سال: 2018
ISSN: 1308-8793
DOI: 10.33818/ier.306676