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

DOI10.1016/J.JECONOM.2016.05.019MaRDI QIDQ341897zbMATH OpenOpenAlexFDO

Authors Offer Lieberman, Peter C. B. Phillips

Publication date 17 November 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.05.019

zbMATH Keywords

optionsautoregressiondiffusionsimilarityderivativestochastic unit roottime-varying coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(16)

• A first order continuous time <scp>VAR</scp> with random coefficients
• Stochastic local and moderate departures from a unit root and its application to unit root testing
• Asymptotic theory for a stochastic unit root model
• Point optimal testing with roots that are functionally local to unity
• Understanding temporal aggregation effects on kurtosis in financial indices
• STOCHASTIC UNIT ROOT MODELS
• Testing for randomness in a random coefficient autoregression model
• Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
• Robust inference with stochastic local unit root regressors in predictive regressions
• Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price
• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• Tempered functional time series
• Hybrid stochastic local unit roots
• Random coefficient continuous systems: testing for extreme sample path behavior
• Unit roots test: spatial model with long memory errors
• Artifactual unit root behavior of value at risk (VaR)

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