Exponential functionals of integrated processes

DOI10.1016/J.ECONLET.2008.01.012MaRDI QIDQ1934854zbMATH OpenOpenAlexFDO

Authors Jungick Lee, Robert de Jong

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2008.01.012

zbMATH Keywords

Brownian motionexponential functionalintegrated process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• On distributions of exponential functionals of the processes with independent increments
• scientific article; zbMATH DE number 1163909
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Cites work

• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• An exponential functional of random walks
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
• Nonlinear Regressions with Integrated Time Series
• Nonstationary Binary Choice
• The Dickey-Fuller test for exponential random walks

Cited in

(3)

• scientific article; zbMATH DE number 4056699 (Why is no real title available?)
• On Exponential Functionals of Processes with Independent Increments
• Negative powers of integrated processes

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