Asymptotic theory for linear diffusions under alternative sampling schemes
From MaRDI portal
Publication:498845
DOI10.1016/j.econlet.2014.12.015zbMath1321.62151MaRDI QIDQ498845
Publication date: 29 September 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1620
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G70: Statistical methods; risk measures
62D05: Sampling theory, sample surveys
91B84: Economic time series analysis
91B70: Stochastic models in economics
60J60: Diffusion processes
62M07: Non-Markovian processes: hypothesis testing
Related Items
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA, Optimal adaptive sampling for a symmetric two-state continuous time Markov chain, In-fill asymptotic theory for structural break point in autoregressions, Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process, In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time, Double asymptotics for explosive continuous time models, Least squares estimation for the drift parameters in the sub-fractional Vasicek processes, New distribution theory for the estimation of structural break point in mean, Volatility estimation and jump detection for drift-diffusion processes, Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Cites Work
- Parameter estimation and bias correction for diffusion processes
- Bias in the estimation of the mean reversion parameter in continuous time models
- A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
- Bayesian skepticism on unit root econometrics
- ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- Towards a unified asymptotic theory for autoregression
- The Parameter Inference for Nearly Nonstationary Time Series
- Testing for Common Trends
- Understanding Unit Rooters: A Helicopter Tour
- Time Series Regression with a Unit Root
- An equilibrium characterization of the term structure
- Tests for Unit Roots and the Initial Condition