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Document type:
Zeitschriftenaufsatz 
Author(s):
Fasen, V. 
Title:
Time series regression on integrated continuous-time processes with heavy and light tails 
Abstract:
The paper presents a cointegration model in continuous time, where the linear combinations of the integrated processes are modeled by a multivariate Ornstein-Uhlenbeck process. The integrated processes are defined as vector-valued Lévy processes with an additional noise term. Hence, if we observe the process at discrete time points, we obtain a multiple regression model. As an estimator for the regression parameter we use the least squares estimator.We show that it is a consistent esti...    »
 
Keywords:
Brownian motion, central limit theorem, cointegration, continuous time, Lévy process, multivariate regular variation, Ornstein-Uhlenbeck process, point process, t-ratio statistic, Wald statistic. 
Journal title:
Econometric Theory 
Year:
2013 
Journal volume:
29 
Journal issue:
Pages contribution:
28-67 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text