Essays on time series and financial econometrics

• 主要作者: FEI, Yijie
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2020
• 主題: Autoregressive model; Predictive regressions; Nonstationarity; Structural Breaks; Spurious regressions; Multivariate stochastic volatility; Markov Chain Monte Carlo; Particle filter; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/etd_coll/294; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1294&context=etd_coll

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...