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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書目詳細資料
Main Authors:	TAO, Yubo, PHILLIPS, Peter C. B., Jun YU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2019
主題:	Bubble testing Explosive path Continuous time models Infill asymptotics Extreme behavior Random coefficient autoregression Econometrics
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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