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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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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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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - 2018
Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...
Persistent link: https://www.econbiz.de/10011948760
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IV and GMM inference in endogenous stochastic unit root models
Lieberman, Offer; Phillips, Peter C. B. - In: Econometric theory 34 (2018) 5, pp. 1065-1100
Persistent link: https://www.econbiz.de/10011951461
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Penalised maximum likelihood estimation for fractional Gaussian processes
Lieberman, Offer - 2001
Persistent link: https://www.econbiz.de/10001637160
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Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, gaussian, strongly dependent process
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - 2002
Persistent link: https://www.econbiz.de/10001640913
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Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
Andrews, Donald W. K.; Lieberman, Offer - 2002
Persistent link: https://www.econbiz.de/10001694737
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Valid Edgeworth expansion for the Whittle maximum likelihood estimator for stationary long-memory Gaussian time series
Andrews, Donald W. K.; Lieberman, Offer - 2002
Persistent link: https://www.econbiz.de/10001666393
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Asymptotic theory for maximum likelihood estimation of the memory parameter in stationary Gaussian processes
Lieberman, Offer; Rosemarin, Roy; Rousseau, Judith - In: Econometric theory 28 (2012) 2, pp. 457-470
Persistent link: https://www.econbiz.de/10009520934
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Valid edgeworth expansions for the whittle maximum likelihood estimator for stationary long-memory Gaussian time series
Andrews, Donald W. K.; Lieberman, Offer - In: Econometric theory 21 (2005) 4, pp. 710-734
Persistent link: https://www.econbiz.de/10003004708