Double asymptotics for explosive continuous time models
DOI10.1016/J.JECONOM.2016.02.014zbMATH Open1420.62400OpenAlexW3123340067MaRDI QIDQ284296FDOQ284296
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
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invariance principledouble asymptoticsexplosive continuous time modelsinitial conditionmoderate deviations from unityLévy process
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Cited In (12)
- Random coefficient continuous systems: testing for extreme sample path behavior
- Unit root test with high-frequency data
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- In-fill asymptotic theory for structural break point in autoregressions
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- The Grid Bootstrap for Continuous Time Models
- Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
- Inference in continuous systems with mildly explosive regressors
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Volatility estimation and jump detection for drift-diffusion processes
- Asymptotic theory for rough fractional Vasicek models
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
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