Exponential functionals of integrated processes

DOI10.1016/j.econlet.2008.01.012zbMath1255.60050OpenAlexW2049939542MaRDI QIDQ1934854

Robert M. de Jong, Jungick Lee

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.01.012

zbMATH Keywords

Brownian motionexponential functionalintegrated process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05)

Cites Work

• An exponential functional of random walks
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonstationary Binary Choice
• Nonlinear Regressions with Integrated Time Series
• THE DICKEY–FULLER TEST FOR EXPONENTIAL RANDOM WALKS
• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM

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