Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...

This paper develops a double asymptotic limit theory for the persistent parameter ( k) in explosive continuous time models driven by Levy processes with a large number of time span (N) and a small number of sampling interval (h). The simultaneous double asymptotic theory is derived using a...

In the summer of 2004, the state of Florida was struck by four major hurricanes consecutively. Using data collected from jurisdictions experiencing hurricanes, this study examines public complacency defined as the tendency to ignore hurricane threat warnings. Results indicate that the public...