No CrossRef data available.
Article contents
BOUNDING TAIL PROBABILITIES IN DYNAMIC ECONOMIC MODELS
Published online by Cambridge University Press: 30 December 2011
Abstract
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.
- Type
- Articles
- Information
- Macroeconomic Dynamics , Volume 16 , Supplement S1: Nonlinear Dynamics in Equilibrium Models , April 2012 , pp. 117 - 126
- Copyright
- Copyright © Cambridge University Press 2011