A multivariate stochastic unit root model with an application to derivative pricing

DOI10.1016/j.jeconom.2016.05.019zbMath1443.62362OpenAlexW2100490553MaRDI QIDQ341897

Offer Lieberman, Peter C. B. Phillips

Publication date: 17 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.019

zbMATH Keywords

optionsdiffusionderivativesimilaritystochastic unit roottime-varying coefficientsautoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Unit roots test: spatial model with long memory errors ⋮ Asymptotic theory for a stochastic unit root model ⋮ IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS ⋮ Robust inference with stochastic local unit root regressors in predictive regressions ⋮ Tempered functional time series ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Point optimal testing with roots that are functionally local to unity ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Testing for randomness in a random coefficient autoregression model ⋮ Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept ⋮ Hybrid stochastic local unit roots ⋮ Understanding temporal aggregation effects on kurtosis in financial indices

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