Testing diffusion processes for non-stationarity

DOI10.1007/S00186-008-0250-9MaRDI QIDQ1028540zbMATH OpenOpenAlexFDO

Authors Jeff Hamrick, Murad S. Taqqu

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

stationarityexchange ratesnonparametric estimationdiffusionspurchasing power parity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic models in economics (91B70)

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Cited in

(4)

• Nonparametric nonstationarity tests
• Maximum penalized quasi-likelihood estimation of the diffusion function
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• Stationarity-based specification tests for diffusions when the process is nonstationary

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Uses Software

• TTL
• RiskMetrics

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