Nonlinearity and temporal dependence

DOI10.1016/j.jeconom.2009.10.001zbMath1431.62600OpenAlexW2149189274WikidataQ56485384 ScholiaQ56485384MaRDI QIDQ2630203

Lars Peter Hansen, Marine Carrasco, Xiaohong Chen

Publication date: 25 July 2016

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

Full work available at URL: https://cirano.qc.ca/files/publications/2009s-17.pdf

zbMATH Keywords

diffusionquadratic formslong memorystrong dependencePoisson sampling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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