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...

Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...

This paper develops a double asymptotic limit theory for the persistent parameter (k) in explosive continuous time models driven by Lévy 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...

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...

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...

Large sample properties are studied for a …rst-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coe¢ cient, the least- squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...

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...

During the 1960's and 1970's the Chinese government encouraged the 'rural cooperative medical systems' (RCMS), in order to ensure access to basic health care among the rural population. There was a break in the development of the RCMS in the early 1980's, as a consequence of market economic...

We explore how outcomes of trade policy retaliation (Nash tariff games) are affected when trade simultaneously takes places geographically across countries and through time via financial intermediation. In such models, deficits and surpluses in goods trade are endogenously determined, and...

This article follows the framework of Klein (1996) to present an improved method of pricing vulnerable options under jump diffusion assumptions about the underlying stock prices and firm values which are appropriate in many business situations. In contrast to Klein's (1996) model, jumps allow...