A multivariate stochastic unit root model with an application to derivative pricing
DOI10.1016/J.JECONOM.2016.05.019zbMATH Open1443.62362OpenAlexW2100490553MaRDI QIDQ341897FDOQ341897
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
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)
- Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price
- Tempered functional time series
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
- Random coefficient continuous systems: testing for extreme sample path behavior
- 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
- Understanding temporal aggregation effects on kurtosis in financial indices
- Point optimal testing with roots that are functionally local to unity
- Hybrid stochastic local unit roots
- Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
- Artifactual unit root behavior of value at risk (VaR)
- Unit roots test: spatial model with long memory errors
- Testing for randomness in a random coefficient autoregression model
- Asymptotic theory for a stochastic unit root model
- STOCHASTIC UNIT ROOT MODELS
- Robust inference with stochastic local unit root regressors in predictive regressions
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