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

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

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...

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Bibliographic Details
Main Authors: LIEBERMAN, Offer, Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Autoregression
Derivative
Diffusion
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Stochastic unit root
Time-varying coefficients
Econometrics
Online Access: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
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Institution: Singapore Management University
Language: English

Internet

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

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