Estimation of longrun variance of continuous time stochastic process using discrete sample

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

scientific article; zbMATH DE number 1911817 (Why is no real title available?)
A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
An Improved Formula for the Asymptotic Variance of Spectrum Estimates
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
Automatic Lag Selection in Covariance Matrix Estimation
Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
Donsker theorems for diffusions: necessary and sufficient conditions
HAC ESTIMATION BY AUTOMATED REGRESSION
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
Nonlinearity and temporal dependence
On Consistent Estimates of the Spectrum of a Stationary Time Series
On a problem of statistical inference in null recurrent diffusions
On the functional central limit theorem and the law of the iterated logarithm for Markov processes
Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
Recent advances in invariance principles for stationary sequences
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited in

(5)

Testing for stationarity at high frequency
A theory of robust long-run variance estimation
On discrete stochastic processes with long-lasting time dependence in the variance
Asymptotic F test in regressions with observations collected at high frequency over long span
Some fixed-\(b\) results for regressions with high frequency data over long spans

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