Essays on time series and financial econometrics
This dissertation contains four essays in financial econometrics. In the first essay, some asymptotic results are derived for first-order autoregression with a root moderately deviating from unity and a nonzero drift. It is shown that the drift changes drastically the large sample properties of the...
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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Online Access: | https://ink.library.smu.edu.sg/etd_coll/294 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1294&context=etd_coll |
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Institution: | Singapore Management University |
Language: | English |