Double asymptotics for explosive continuous time models
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香港中文大学研究人员 ( 现职)


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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

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摘要This paper establishes a double asymptotic theory for explosive continuous time Levy-driven processes and the corresponding exact discrete time models. The double asymptotic theory assumes the sample size diverges because the sampling interval (h) shrinks to zero and the time span (N) diverges. Both the simultaneous and sequential double asymptotic distributions are derived. In contrast to the long-time span asymptotics (N -> infinity with fixed h) where no invariance principle applies, the double asymptotic distribution is derived without assuming Gaussian errors, so an invariance principle applies, as the asymptotic theory for the mildly explosive process developed by Phillips and Magdalinos (2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07). Like the in-fill asymptotics (h http://aims.cuhk.edu.hk/converis/portal/Publication/0 with fixed N) of Perron (1991), the double asymptotic distribution explicitly depends on the initial condition. The convergence rate of the double asymptotics partially bridges that of the long-time-span asymptotics and that of the in-fill asymptotics. Monte Carlo evidence shows that the double asymptotic distribution works well in practically realistic situations and better approximates the finite sample distribution than the asymptotic distribution that is independent of the initial condition. Empirical applications to real Nasdaq prices highlight the difference between the new theory and the theory without taking the initial condition into account. (C) 2http://aims.cuhk.edu.hk/converis/portal/Publication/016 Elsevier B.V. All rights reserved.

着者Wang XH, Yu J
期刊名称Journal of Econometrics
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/016
月份7
日期1
卷号193
期次1
出版社ELSEVIER SCIENCE SA
页次35 - 53
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/03http://aims.cuhk.edu.hk/converis/portal/Publication/04-4http://aims.cuhk.edu.hk/converis/portal/Publication/076
电子国际标準期刊号1872-6895
语言英式英语

关键词Double asymptotics; Explosive continuous time models; Initial condition; Invariance principle; Levy process; Moderate deviations from unity
Web of Science 学科类别Business & Economics; Economics; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods