Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions

DOI10.1023/B:SISP.0000026044.28647.56MaRDI QIDQ701967zbMATH OpenOpenAlexFDO

Authors Mathieu Kessler, Anders Rahbek

Publication date 17 January 2005

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:sisp.0000026044.28647.56

zbMATH Keywords

identificationcointegrationcontinuous timematrix exponentialDiffusion processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Markov processes: hypothesis testing (62M02) Parametric inference under constraints (62F30)

Recommendations

• Asymptotic likelihood based inference for co-integrated homogeneous Gaussian diffusions
• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Statistical analysis of cointegration vectors
• Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
• Error Correction and Long-Run Equilibrium in Continuous Time

Cited in

(19)

• An Econometric Analysis of Volatility Discovery
• Explicit form of approximate transition probability density functions of diffusion processes
• Cointegrated continuous-time linear state-space and MCARMA models
• Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review
• Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
• Closed-form likelihood expansions for multivariate diffusions
• An efficient method to simulate diffusion bridges
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• A Bayesian regression model for multivariate functional data
• In-fill asymptotic theory for structural break point in autoregressions
• Cointegration and sampling frequency
• A multifactor transformed diffusion model with applications to VIX and VIX futures
• Modelling the movement of a soil insect
• Asymptotic likelihood based inference for co-integrated homogeneous Gaussian diffusions
• Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
• A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
• Identifying restrictions for finite parameter continuous time models with discrete time data
• Oscillating systems with cointegrated phase processes

This page was built for publication: Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q701967)