Based on the Girsanov theorem, this paper obtains the exact finite sample distribution of the maximum likelihood estimator of structural break points in a continuous time model. The exact finite sample theory suggests that, in empirically realistic situations, there is a strong finite sample...

This paper develops a double asymptotic limit theory for the persistent parameter () in an explosive continuous time model with a large number of time span (N) and a small number of sampling interval (h). The limit theory allows for the joint limits where N ! 1 and h ! 0 simultaneously, the...

This paper develops a double asymptotic limit theory for the persistent parameter ( k) in explosive continuous time models driven by Levy processes with a large number of time span (N) and a small number of sampling interval (h). The simultaneous double asymptotic theory is derived using a...

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all...

We develop a new asset price model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the norma period where the asset price divided by the divided is assumed to follow a mean-reverting process around a...

A model of financial asset price determination is proposed that incorporates flat trading features into an e¡é cient price process. The model involves the superposition of a Brownian semimartin- gale process for the efficient price and a Bernoulli process that determines the extent of flat...