Testing diffusion processes for non-stationarity

DOI10.1007/s00186-008-0250-9zbMath1173.91025MaRDI QIDQ1028540

Murad S. Taqqu, Jeff Hamrick

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://repository.usfca.edu/msan_fac/3

zbMATH Keywords

diffusions; stationarity; exchange rates; purchasing power parity; nonparametric estimation

Mathematics Subject Classification ID

60G10: Stationary stochastic processes

91B70: Stochastic models in economics

Related Items

Maximum penalized quasi-likelihood estimation of the diffusion function

Uses Software

• TTL
• RiskMetrics

Cites Work

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