A multivariate stochastic unit root model with an application to derivative pricing

• Main Authors: LIEBERMAN, Offer, Peter C. B. PHILLIPS
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2017
• 主題: Autoregression; Derivative; Diffusion; Options; Similarity; Stochastic unit root; Time-varying coefficients; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1942; https://ink.library.smu.edu.sg/context/soe_research/article/2941/viewcontent/MultivariateStochasticUnitRootModel_2016_pp.pdf

This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (STUR) models to a multivariate case including asymptotic theory for estimation of the model's parameters. The extensions are useful for applications of STUR modeling and because they lead to a generaliz...