Three Econometric Essays on Continuous Time Models

• المؤلف الرئيسي: WANG, Xiaohu
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: continuous time; diffusion; bias reduction; limit theory; explosive process; levy process; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/84; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1083&context=etd_coll
• المؤسسة: Singapore Management University

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. The Chapter 2 introduces a framework for discretizing linear multivariate continuous time...