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  • Search: subject:"Sudden and Large Shifts in the Moments"
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Conditional Variance 1 Sample Generalized Variance 1 Sudden and Large Shifts in the Moments 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Razzak, Weshah 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Predicting Instability
Razzak, Weshah - Volkswirtschaftliche Fakultät, … - 2010
Unanticipated shocks could lead to instability, which is reflected in statistically significant changes in distributions of independent Gaussian random variables. Changes in the conditional moments of stationary variables are predictable. We provide a framework based on a statistic for the...
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