3 papers
econ.EM2024
Testing for Nonlinear Cointegration under Heteroskedasticity
Christoph Hanck, Till Massing
This article discusses Shin (1994, Econometric Theory)-type tests for nonlinear cointegration in the presence of variance breaks. We build on cointegration test approaches under he…
math.PR2024
Simulating Continuous-Time Autoregressive Moving Average Processes Driven By p-Tempered α-Stable Lévy Processes
Till Massing
We discuss simulation schemes for continuous-time autoregressive moving average (CARMA) processes driven by tempered stable Lévy noises. CARMA processes are the continuous-time an…
math.ST2024
Parametric Estimation of Tempered Stable Laws
Till Massing
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-…