3 ms·
The term for this is heteroskedasticity, which I've never spelled right. Essentially, volatile events are not evenly spaced-- volatility tends to cluster aroun
by steveplace 13y ago
The term for this is heteroskedasticity, which I've never spelled right.
Essentially, volatile events are not evenly spaced-- volatility tends to cluster around events.
- deleted 13y ago[deleted]
- JumpCrisscross 13y agoEndogeneity refers to the causality loop. The markets are judging the probability of the U.S. defaulting. The market's judgement, in turn, affects the probability of the U.S. defaulting. This will tend to produce a system exhibiting self-organised criticality. The probability of the critical point being tripped could be heteroscedastically distributed. But that's not the same thing as saying the market judgement is endogenous to its prediction.