Time-Series Seminar: Junichi Hirukawa

Wednesday 11 December 2019, 1:30pm to 2:30pm


PSC - PSC A54 - View Map

Open to

Postgraduates, Staff


Registration not required - just turn up

Event Details

Asymptotic properties of mildly explosive processes with locally stationary disturbance

In this talk the limit distribution of the least squares estimator for mildly explosive autoregressive models with locally stationary disturbance is established, which is shown to be Cauchy as in the iid case. The result is then applied to identify the onset and the end of an explosive period of a financial time series. Simulations and data analysis are conducted to demonstrate the validity of the result.

Contact Details

Name Dr Alex Gibberd


Telephone number

+44 1524 595068