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Computable Bounds for Extreme Event Probabilities in Stochastic Economic Models

The paper introduces a multiplicative drift condition for evaluating stochastic economic models. The drift condition is shown to permit computation of quantitative bounds for extreme event probabilities in terms of the model primitives. By way of illustration, the technique is applied to a simple threshold autoregression model of exchange rates.
Year of publication:
2005
Authors: Stachurski, John
Institutions: Department of Economics, Faculty of Business and Economics
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Extent:
application/pdf
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Type of publication: Book / Working Paper
Notes:
Number 927 15 pages
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Persistent link: https://www.econbiz.de/10005458659
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