Asymptotics for recurrent diffusions with application to high frequency regression

DOI10.1016/j.jeconom.2015.12.019zbMath1443.60074OpenAlexW2528413862MaRDI QIDQ341886

Jihyun Kim, Joon Y. Park

Publication date: 17 November 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.12.019

zbMATH Keywords

diffusionasymptoticslimit distributioncontinuous time regressionpositive and null recurrences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (9)

Testing for the presence of jump components in jump diffusion models ⋮ Testing for stationarity at high frequency ⋮ Asymptotic F test in regressions with observations collected at high frequency over long span ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES ⋮ Volatility regressions with fat tails ⋮ Nonparametric estimation of jump diffusion models ⋮ Consistent estimator of nonparametric structural spurious regression model for high frequency data ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS

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