Asymptotics for recurrent diffusions with application to high frequency regression

DOI10.1016/J.JECONOM.2015.12.019zbMATH Open1443.60074OpenAlexW2528413862MaRDI QIDQ341886FDOQ341886

Authors: Ji Hyun Kim, Joon Y. Park 

Publication date: 17 November 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.12.019

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zbMATH Keywords

asymptoticslimit distributiondiffusioncontinuous time regressionpositive and null recurrences

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Brownian motion (60J65)

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• Null recurrent unit root processes
• Limit theorems for null recurrent Markov processes
• Stationarity-based specification tests for diffusions when the process is nonstationary
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Cited In (11)

• Convergence rates of sums of \(\alpha\)-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes
• Testing for stationarity at high frequency
• Volatility regressions with fat tails
• Consistent estimator of nonparametric structural spurious regression model for high frequency data
• Testing for the presence of jump components in jump diffusion models
• Nonparametric estimation of jump diffusion models
• New robust inference for predictive regressions
• 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
• Estimation of volatility functions in jump diffusions using truncated bipower increments
• Some fixed-\(b\) results for regressions with high frequency data over long spans

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