Asymptotic theory for linear diffusions under alternative sampling schemes
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sampling theory, sample surveys (62D05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07) Stochastic models in economics (91B70)
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Cites work
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
- An equilibrium characterization of the term structure
- Bayesian skepticism on unit root econometrics
- Bias in the estimation of the mean reversion parameter in continuous time models
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Parameter estimation and bias correction for diffusion processes
- Testing for Common Trends
- Tests for Unit Roots and the Initial Condition
- The Parameter Inference for Nearly Nonstationary Time Series
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- Understanding Unit Rooters: A Helicopter Tour
Cited in
(12)- In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
- Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
- Double asymptotics for explosive continuous time models
- Optimal adaptive sampling for a symmetric two-state continuous time Markov chain
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Unit root test with high-frequency data
- New distribution theory for the estimation of structural break point in mean
- In-fill asymptotic theory for structural break point in autoregressions
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- The Grid Bootstrap for Continuous Time Models
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Volatility estimation and jump detection for drift-diffusion processes
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