Persistent Stationary Process1
نویسندگان
چکیده
This paper presents a novel characterization of continuous time processes that captures the primary idiosyncratic features of many financial time series. We extend the analysis of unit root behaviors to incorporate series that have continuous sampling, but do so in such a way that the overall series does not tend towards explosive paths, as is implied by many unit root setups. In doing so, we enumerate a theory of asymptotics and regressions, presenting both simulation evidence and empirical backing for the existence, as well as the characteristic behavior of such a series in multiple real financial time series data. This version: April 20, 2012 JEL Classification: C13, C22
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