There is consensus that the recent financial crisis revolved around a crash of the short-term credit market. Yet there is no agreement around the necessary policies to prevent another credit freeze. In this experiment we test the effects that contract length (i.e. maturity mismatch) has on the...

There is consensus that the recent financial crisis revolved around a crash of the short-term credit market. Yet there is no agreement around the necessary policies to prevent another credit freeze. In this experiment we test the effects that contract length (i.e. maturity mismatch) has on the...

There is consensus that the recent nancial crisis revolved around a crash of the short-term credit market. Yet there is no agreement around the necessary policies to prevent another credit freeze. In this experiment we test the eects that contract length (i.e. maturity mismatch) has on the...

This paper develops a double asymptotic limit theory for the persistent parameter (k) in explosive continuous time models driven by Lévy 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...