Double asymptotics for explosive continuous time models

DOI10.1016/j.jeconom.2016.02.014zbMath1420.62400OpenAlexW3123340067MaRDI QIDQ284296

Xiaohu Wang, Jun Yu

Publication date: 18 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1859

zbMATH Keywords

invariance principleLévy processinitial conditiondouble asymptoticsexplosive continuous time modelsmoderate deviations from unity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (9)

UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ Inference in continuous systems with mildly explosive regressors ⋮ Volatility estimation and jump detection for drift-diffusion processes ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL ⋮ Asymptotic theory for rough fractional Vasicek models ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Asymptotic properties of mildly explosive processes with locally stationary disturbance ⋮ In-fill asymptotic theory for structural break point in autoregressions

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