Modeling tails of aggregate economic processes in a stochastic growth model

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Aug 2014 France English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 76, pages 76-94 (issn: 0167-9473,

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Authors: Auray, Stéphane; Eyquem, Aurélien; Jouneau-Sion, Frédéric;

doi: 10.1016/j.csda.2014.02.011

Modeling tails of aggregate economic processes in a stochastic growth model

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Abstract

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Keywords

330, Economic growth, Unified growth theory, Heteroskedasticity, Fat tails, Heteroskedasticity, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Applications of statistics to economics, Economic growth, Unified growth theory, unified growth theory, Fat tails, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, economic growth, Time series, auto-correlation, regression, etc. in statistics (GARCH), Economic growth models, fat tails, Computational methods for problems pertaining to statistics, heteroskedasticity, jel: jel:C46, jel: jel:C22, jel: jel:O41, jel: jel:O47, jel: jel:N13

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