Double asymptotics for explosive continuous time models

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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書目詳細資料
Main Authors:	WANG, Xiaohu, Jun YU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2016
主題:	Explosive continuous time models;Levy process;Moderate deviations from unity;Double asymptotics;Invariance principle;Initial condition Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1859 https://ink.library.smu.edu.sg/context/soe_research/article/2859/viewcontent/doubleasymptotics08.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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