کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096126 1376505 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
ترجمه فارسی عنوان
ارزیابی آماری فرآیندهای چند منظوره اورنستاین-اولنبک و برنامه های کاربردی برای همگام سازی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Ornstein-Uhlenbeck models are continuous-time processes which have broad applications in finance as, e.g., volatility processes in stochastic volatility models or spread models in spread options and pairs trading. The paper presents a least squares estimator for the model parameter in a multivariate Ornstein-Uhlenbeck model driven by a multivariate regularly varying Lévy process with infinite variance. We show that the estimator is consistent. Moreover, we derive its asymptotic behavior and test statistics. The results are compared to the finite variance case. For the proof we require some new results on multivariate regular variation of products of random vectors and central limit theorems. Furthermore, we embed this model in the setup of a co-integrated model in continuous time.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 172, Issue 2, February 2013, Pages 325-337
نویسندگان
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