We propose a convolution based approach to the simulation of a modified version of a unit root process where the state variable Y t − 1 is dependent on the innovation ε t . The dependence structure is given by a copula function C. We study by simulation the e ff ect of a negative correlation on the properties of unit roots. We call this process C-UR(1).
Convolution Based Unit Root Processes: A Simulation Approach / Gobbi Fabio. - In: INTERNATIONAL JOURNAL OF STATISTICS AND PROBABILITY. - ISSN 1927-7032. - STAMPA. - 5:6(2016), pp. 22-31.
Convolution Based Unit Root Processes: A Simulation Approach
Gobbi Fabio
2016
Abstract
We propose a convolution based approach to the simulation of a modified version of a unit root process where the state variable Y t − 1 is dependent on the innovation ε t . The dependence structure is given by a copula function C. We study by simulation the e ff ect of a negative correlation on the properties of unit roots. We call this process C-UR(1).File in questo prodotto:
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