Double asymptotics for explosive continuous time models

• Main Authors: WANG, Xiaohu, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Explosive continuous time models; Lévy process; Moderate deviations from unity; Double asymptotics; Invariance principle; Initial condition; Econometrics
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5112
• Institution: Singapore Management University

This paper establishes a double asymptotic theory for explosive continuous time Lévy-driven processes and the corresponding exact discrete time models. The double asymptotic theory assumes the sample size diverges because the sampling interval (h) shrinks to zero and the time span (N) diverges. Both...