Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching

• 作者: Jinghai Shao Tongtong Hou
• 来源期刊: 中国科学：数学（英文版）
• 年，卷（期）: 2020,（6）
• 页码范围: 1169-1180
• 页数: 12页
• 语种: 英文

摘要

This study aims to investigate the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime switching.An essential difference shown in this study between CIR processes with and without regime switching is that the stationary distribution of those with regime switching may be heavy-tailed.We first provide sharp criteria to justify the existence of a stationary distribution for the CIR process with regime switching,which is applied to study the long-term returns of interest rates.Then,we provide a criterion to identify whether this distribution is heavy-tailed.Our results provide theoretical evidence of the existence of regime switching for interest-rate models based on empirical evidence of a heavy-tailed distribution.

作者信息

序号	姓名	单位	发文数	被引次数	H指数	G指数
1	Tongtong Hou		1	0	0.0	0.0
2	Jinghai Shao		1	0	0.0	0.0