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ArticleNonlinearity and temporal dependence

Xiaohong Chen2009

Article2009

Nonlinearity and temporal dependence

Xiaohong Chen · Lars Peter Hansen · Marine Carrasco

95 citations·0/0 files stored·Journal of Econometrics

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Complex Systems and Time Series Analysis Probability and Statistical Research Time Series Analysis and Forecasting

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1979Martingales and arbitrage in multiperiod securities markets 1993A long memory property of stock market returns and a new model 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2001The Distribution of Realized Exchange Rate Volatility 1995Log-Periodogram Regression of Time Series with Long Range Dependence 1996Modeling and pricing long memory in stock market volatility 2001Long memory and regime switching

Cited by

2007NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS 2002Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 2013Forecasting a long memory process subject to structural breaks 2012ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE 2011Semi-nonparametric estimation and misspecification testing of diffusion models

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Year2009

Typearticle

Published2009-10-09

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations95

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.jeconom.2009.10.001

openalex_workW2149189274

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