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Titel:

Time series regression on integrated continuous-time processes with heavy and light tails

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Fasen, V.
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 estimator...     »
Stichworte:
Brownian motion, central limit theorem, cointegration, continuous time, Lévy process, multivariate regular variation, Ornstein-Uhlenbeck process, point process, t-ratio statistic, Wald statistic.
Zeitschriftentitel:
Econometric Theory
Jahr:
2013
Band / Volume:
29
Heft / Issue:
1
Seitenangaben Beitrag:
28-67
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1017/S0266466612000217
Status:
Postprint / reviewed
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX