Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration
Year of publication: |
2013
|
---|---|
Authors: | Fasen, Vicky |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 172.2013, 2, p. 325-337
|
Publisher: |
Elsevier |
Subject: | Asymptotic | Co-integration | Continuous-time process | Multivariate regular variation | Ornstein–Uhlenbeck process | Point estimation | Stable Lévy process | t-ratio statistic | Wald-statistic |
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