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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1859 https://ink.library.smu.edu.sg/context/soe_research/article/2859/viewcontent/doubleasymptotics08.pdf |
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| Institution: | Singapore Management University |
| Language: | English |