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BOUNDING TAIL PROBABILITIES IN DYNAMIC ECONOMIC MODELS

This paper provides conditions for bounding tail probabilities in stochastic economic models in terms of their transition laws and shock distributions. Particular attention is given to conditions under which the tails of stationary equilibria have exponential decay. By way of illustration, the technique is applied to a threshold autoregression model of exchange rates.
Year of publication:
2012
Authors: Stachurski, John
Published in:
Macroeconomic Dynamics. - Cambridge University Press. - Vol. 16.2012, S1, p. 117-126
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10011121049
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