Stationarity-based specification tests for diffusions when the process is nonstationary

DOI10.1016/j.jeconom.2012.01.030zbMath1443.62219OpenAlexW1999334898MaRDI QIDQ528006

Yacine Aït-Sahalia, Joon Y. Park

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000401

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ Asymptotics for recurrent diffusions with application to high frequency regression ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ A reexamination of stock return predictability ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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