Bayraktar, Erhan3; Pakkanen, Mikko S.5; Sayit, Hasanjan4
1 Department of Economics and Business Economics, Aarhus BSS, Aarhus University2 Department of Economics and Business Economics - Center for Research in Econometric Analysis of Time Series (CREATES), Department of Economics and Business Economics, Aarhus BSS, Aarhus University3 University of Michigan4 Durham University5 Department of Economics and Business Economics, Aarhus BSS, Aarhus University
We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS). We use the new condition to show the existence of CPSs for certain processes that fail to have the CFS property. In particular this condition gives sufficient conditions, under which a continuous function of a process with CFS admits a CPS, while the CFS property might be lost.
Stochastic Analysis and Applications, 2014, Vol 32, Issue 1, p. 152-162