Random coefficient continuous systems: Testing for extreme sample path behavior

Random coefficient continuous systems: Testing for extreme sample path behavior

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., Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Bubble testing
Explosive path
Continuous time models
Infill asymptotics
Extreme behavior
Random coefficient autoregression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2310
https://ink.library.smu.edu.sg/context/soe_research/article/3309/viewcontent/Double_Asymptotics_for_OU_process_in_a_random_environment_av.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2310
https://ink.library.smu.edu.sg/context/soe_research/article/3309/viewcontent/Double_Asymptotics_for_OU_process_in_a_random_environment_av.pdf

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