کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095653 1376477 2017 51 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotics for recurrent diffusions with application to high frequency regression
ترجمه فارسی عنوان
همبستگیها برای پخشهای عادی با استفاده از رگرسیون فرکانس بالا
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We provide the asymptotic theory for functionals of recurrent diffusions. Our asymptotics are completely general and applicable for all cases, including positive and null recurrent diffusions, and diffusions with and without the integrability conditions. They are established directly from the representation of diffusion as time-changed Brownian motion. Our approach provides a unified framework, and combines all existing theories of diffusion asymptotics with new results that appear to be particularly relevant in many practical applications. For an illustration of our asymptotics, we employ them to analyze a class of high frequency regressions that is commonly used in empirical economics and finance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 196, Issue 1, January 2017, Pages 37-54
نویسندگان
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