Double asymptotics for explosive continuous time models

This paper establishes a double asymptotic theory for explosive continuous time Levy-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...

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Bibliographic Details
Main Authors: WANG, Xiaohu, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
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Online Access:https://ink.library.smu.edu.sg/soe_research/1858
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Institution: Singapore Management University
Language: English