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6 - Econometric Analysis of Nonstationary Continuous-Time Models

from Part II - Continuous-Time Models and High-Frequency Financial Econometrics

Published online by Cambridge University Press:  20 February 2025

Edited by
Shuping Shi ,
Xiaohu Wang  and
Tao Zeng
Shuping Shi
Affiliation:
Macquarie University, Sydney
Xiaohu Wang
Affiliation:
Fudan University, Shanghai
Tao Zeng
Affiliation:
Zhejiang University, China
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Summary

This chapter discusses the nonstationary continuous-time models, including unit root and explosive regressors. The contents cover estimation methods, inferential theory, and empirical examples demonstrating the use of these models. It starts with a univariate framework and extends to multivariate cases for generality.

Keywords

continuous-time modelunit root processexplosive processco-integrationco-explosive
Type
Chapter
Information
Financial Econometrics
Theory and Applications
 , pp. 159 - 197
Publisher: Cambridge University Press
Print publication year: 2025

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