Random coefficient continuous systems: Testing for extreme sample path behaviour

Random coefficient continuous systems: Testing for extreme sample path behaviour

This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive beha...

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Bibliographic Details
Main Authors: TAO, Yubo, PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Continuous time models
Explosive path
Extreme behaviour; Random coefficient autoregression; Infill asymptotics; Bubble testing.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2115
https://ink.library.smu.edu.sg/context/soe_research/article/3115/viewcontent/Double_Asymptotics_for_OU_process_in_a_random_environment19_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2115
https://ink.library.smu.edu.sg/context/soe_research/article/3115/viewcontent/Double_Asymptotics_for_OU_process_in_a_random_environment19_.pdf

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