Random coefficient continuous systems: testing for extreme sample path behavior

DOI10.1016/j.jeconom.2019.01.002zbMath1452.62682OpenAlexW2771231293WikidataQ128553400 ScholiaQ128553400MaRDI QIDQ1740293

Peter C. B. Phillips, Jun Yu, Yubo Tao

Publication date: 30 April 2019

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2310

zbMATH Keywords

infill asymptoticsrandom coefficient autoregressioncontinuous-time modelsextreme behaviorbubble testingexplosive path

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ Robust inference with stochastic local unit root regressors in predictive regressions ⋮ 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 ⋮ Testing for explosive bubbles: a review ⋮ Hybrid stochastic local unit roots ⋮ In-fill asymptotic theory for structural break point in autoregressions ⋮ Understanding temporal aggregation effects on kurtosis in financial indices

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