Testing diffusion processes for non-stationarity

DOI10.1007/S00186-008-0250-9zbMATH Open1173.91025OpenAlexW2064125721MaRDI QIDQ1028540FDOQ1028540

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)

Cites Work

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• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
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• Asymptotic nonequivalence of GARCH models and diffusions
• ARCH models as diffusion approximations
• Smoothing techniques. With implementation in S
• Nonparametric Identification for Diffusion Processes
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Markov Processes from K. Ito's Perspective (AM-155)
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Are Asian real exchange rates stationary?
• Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation

Cited In (2)

• Maximum penalized quasi-likelihood estimation of the diffusion function
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

Uses Software

• TTL
• RiskMetrics

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