Latent local-to-unity models
Year of publication: |
2023
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Authors: | Wang, Xiaohu ; Yu, Jun |
Subject: | Fractional Brownian motion | fractional O-U process | fractionally integrated errors | local-to-unity Instrumental variable | state-space | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
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Modeling of the national economies in state-space : a fractional calculus approach
Škovránek, Tomáš, (2012)
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Multivariate fractional Brownian motion and generalizations of SABR model
Musiela, Marek, (2023)
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Glasserman, Paul, (2023)
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Limit theory for an explosive autoregressive process
Wang, XiaoHu, (2015)
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Double asymptotics for explosive continuous time models
Wang, XiaoHu, (2016)
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Double Asymptotics for Explosive Continuous Time Models
Wang, XiaoHu, (2013)
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