Search Results - subject:"Stochastic unit root"

Robust inference with stochastic local unit root regressors in predictive regressions

Liu, Yanbo; Phillips, Peter C. B. - 2021

Persistent link: https://www.econbiz.de/10012807748

Estimation and inference for the threshold model with hybrid stochastic local unit root regressors

Chen, Chaoyi; Stengos, Thanasēs - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-15

In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root … model with unit root, local-to-unity, and stochastic unit root regressors. We provide the estimation strategy for the least …

Persistent link: https://www.econbiz.de/10014332443

Estimation and inference for the threshold model with hybrid stochastic local unit root regressors

Chen, Chaoyi; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-15

Persistent link: https://www.econbiz.de/10013273589

Testing for random coefficient autoregressive and stochastic unit root models

Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129

Persistent link: https://www.econbiz.de/10014288865

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 227 (2022) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10013441621

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon …

Persistent link: https://www.econbiz.de/10011948760

local stochastic unit root

Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82

Persistent link: https://www.econbiz.de/10012504449

Hybrid stochastic local unit roots

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 215 (2020) 1, pp. 257-285

Persistent link: https://www.econbiz.de/10012439454

A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (SUR) models to a …

Persistent link: https://www.econbiz.de/10011096425

Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

appears in the score function. A variant of the stochastic unit root model within the class is studied and a large sample …

Persistent link: https://www.econbiz.de/10011184577