Double asymptotics for explosive continuous time models

DOI10.1016/J.JECONOM.2016.02.014MaRDI QIDQ284296zbMATHOpenAlexFDO

Authors Xiaohu Wang, Jun Yu

Publication date 18 May 2016

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

Full work available at URL https://ink.library.smu.edu.sg/soe_research/1859

zbMATH Keywords

invariance principledouble asymptoticsexplosive continuous time modelsinitial conditionmoderate deviations from unityLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
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• The Variance Gamma Process and Option Pricing
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression
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Cited in

(12)

• The Grid Bootstrap for Continuous Time Models
• Asymptotic properties of mildly explosive processes with locally stationary disturbance
• Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
• In-fill asymptotic theory for structural break point in autoregressions
• Unit root test with high-frequency data
• Inference in continuous systems with mildly explosive regressors
• Volatility estimation and jump detection for drift-diffusion processes
• Asymptotic theory for estimating drift parameters in the fractional Vasicek model
• Random coefficient continuous systems: testing for extreme sample path behavior
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Asymptotic theory for rough fractional Vasicek models
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

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