Asymptotics for recurrent diffusions with application to high frequency regression
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Cites work
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
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- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 942202 (Why is no real title available?)
- scientific article; zbMATH DE number 774038 (Why is no real title available?)
- scientific article; zbMATH DE number 3287297 (Why is no real title available?)
- Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals
- Diffusion processes and their sample paths.
- Donsker theorems for diffusions: necessary and sufficient conditions
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Limit theorems for null recurrent Markov processes
- Limit theorems for random walks, birth and death processes, and diffusion processes
- Maximum and minimum of one-dimensional diffusions
- Nonlinear Regressions with Integrated Time Series
- Nonparametric estimation in a nonlinear cointegration type model
- Null recurrent unit root processes
- On uniform laws of large numbers for ergodic diffusions and consistency of estimators
- Parameter estimation and bias correction for diffusion processes
- Stationarity-based specification tests for diffusions when the process is nonstationary
- Structural nonparametric cointegrating regression
- Uniform consistency for nonparametric estimators in null recurrent time series
Cited in
(11)- Testing for stationarity at high frequency
- Convergence rates of sums of \(\alpha\)-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes
- New robust inference for predictive regressions
- Volatility regressions with fat tails
- 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
- Testing for the presence of jump components in 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
- Some fixed-\(b\) results for regressions with high frequency data over long spans
- Nonparametric estimation of jump diffusion models
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