Economics - Research Publications

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Author: STACHURSKI, JOHN × End date: 2006 × Start date: 2004 × Type: Preprint × Subject: economic models ×

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    Computable Bounds for ExtremeEvent Probabilities in StochasticEconomic Models
    STACHURSKI, JOHN ( 2005-02)
    The paper introduces a multiplicative drift conditionfor evaluating stochastic economic models. The drift condition isshown to permit computation of quantitative bounds for extremeevent probabilities in terms of the model primitives. By way ofillustration, the technique is applied to a simple threshold autoregressionmodel of exchange rates.