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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Bibliographic Details
Main Author: FEI, Yijie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
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