By Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya (eds.)
This edited e-book includes a number of cutting-edge papers dedicated to econometrics of probability. a few papers supply theoretical research of the corresponding mathematical, statistical, computational, and reasonably-priced versions. different papers describe functions of the radical risk-related econometric ideas to real-life financial occasions. The publication offers new tools constructed only recently, particularly, equipment utilizing non-Gaussian heavy-tailed distributions, tools utilizing non-Gaussian copulas to correctly have in mind dependence among varied amounts, tools bearing in mind vague ("fuzzy") specialist wisdom, and plenty of different cutting edge techniques.
This flexible quantity is helping practitioners to profit the best way to follow new recommendations of econometrics of danger, and researchers to extra increase the present versions and to return up with new principles on how you can top take into consideration fiscal risks.
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Extra resources for Econometrics of Risk
Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? Int. Econ. Rev. 52, 201–226 (2011) 33. : Gaussian and Non-Gaussian Linear Time Series and Random Fields. Springer, New York (2000) 34. : Web Money Gets Laundering Rule, The Wall Street Journal. com/news/articles/SB10001424127887324373204578374611351125202 (2013) 35. : Cyprus details heavy losses for major bank customers, Reuters. com/article/2013/03/30/us-cyprus-parliamentidUSBRE92G03I20130330 (2013) 36. : Bitcoin: A primer, Chicago Fed Letter.
Such a noncausal or mixed process has to be examined conditionally on the information of the current and past rates. It is known that a noncausal, linear autoregressive process also has a nonlinear causal autoregressive dynamics, except in the Gaussian case. This is the special nonlinear feature, which makes it suitable for modelling the bubbles in Bitcoin/USD exchange rate. Moreover the noncausal autoregressive model allows for forecasting the occurrence of a future bubble and the time of bubble burst.
There is clearly a need of supervision to better protect the investors in bitcoins against the theft of their bitcoins, but also against the 8 The French platform Bitcoin-Central has been closed for 5 months in 2013 due to hackers attack. Nevertheless the customers had still the possibility to withdraw their bitcoins. Noncausal Autoregressive Model in Application . . 39 speculative behavior of large bitcoin holders. This supervision will likely make disappear the previously observed speculative bubbles and perhaps the market for this electronic currency itself.