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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |