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

DOI10.1016/J.JECONOM.2012.01.030MaRDI QIDQ528006zbMATHOpenAlexFDO

Authors 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) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60)

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• An equilibrium characterization of the term structure
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• Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
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• Limit theorems for null recurrent Markov processes
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• On Occupation Times for Markoff Processes
• On the functional estimation of multivariate diffusion processes

Cited in

(10)

• Nonparametric specification tests for stochastic volatility models based on volatility density
• Empirical‐process‐based specification tests for diffusion models
• Asymptotics for recurrent diffusions with application to high frequency regression
• Asymptotically distribution-free tests for the volatility function of a diffusion
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• A reexamination of stock return predictability
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• Testing diffusion processes for non-stationarity
• Specification tests for univariate diffusions

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