Predictive Distribution of Anticipative alpha-Stable Markov Processes

Abstract

The anticipative alpha-stable autoregression of order 1 is a stationary Markov process undergoing explosive episodes akin to bubbles in financial time series data. Although featuring infinite variance, conditional moments up... [ view full abstract ]

Authors

  1. S├ębastien Fries (ENSAE-ParisTech & CREST)

Topic Areas

Jump-Diffusions , Stochastic Analysis

Session

MO-P-SW » Stochastic Processes (14:30 - Monday, 16th July, Swift)

Presentation Files

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