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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - 2015
Persistent link: https://www.econbiz.de/10011397788
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - 2014
Persistent link: https://www.econbiz.de/10010464140
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A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing
Lieberman, Offer - 2014
multivariate case including a comprehensive asymptotic theory for estimation of the model's parameters. The extensions are useful …
Persistent link: https://www.econbiz.de/10013043166
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
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Asset pricing with financial bubble risk
Lee, Ji Hyung; Phillips, Peter C. B. - In: Journal of empirical finance 38 (2016), pp. 590-622
Persistent link: https://www.econbiz.de/10011663380
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Modeling speculative bubbles with diverse investor expectations
Phillips, Peter C. B. - In: Research in economics : an international review of economics 70 (2016) 3, pp. 375-387
Persistent link: https://www.econbiz.de/10011631179
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Real time monitoring of asset markets : bubbles and crises
Phillips, Peter C. B.; Shi, Shuping - 2018
Persistent link: https://www.econbiz.de/10011948773
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Random Coefficient Continuous Systems : Testing for Extreme Sample Path Behaviour
Tao, Yubo - 2019
proposed for the continuous system estimation, the asymptotic theory is developed, and test statistics to identify the … data that differ from typical unit root behaviour. The theory is extended to cover models where the random persistence …
Persistent link: https://www.econbiz.de/10012900440
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A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
Phillips, Peter C. B. - 2013
observations. In the first stage we make use of the feasible central limit theory for realized volatility, as recently developed in … parameters in the drift function. Consistency and asymptotic distribution theory for these estimates are established in various …
Persistent link: https://www.econbiz.de/10012754522
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Jackknifing Bond Option Prices
Phillips, Peter C. B. - 2013
In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...
Persistent link: https://www.econbiz.de/10012754648