Nonlinearity and temporal dependence

Journal of Econometrics

Volumn 155, Issue 2, 2010, Pages 155-169

  Chen, Xiaohong ^a   Hansen, Lars Peter ^b   Carrasco, Marine ^c  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

^c UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Diffusion; Long memory; Poisson sampling; Quadratic forms; Strong dependence

Indexed keywords

DIFFUSION COEFFICIENTS; IN-DIFFUSION; LONG MEMORIES; MARKOV STATE; MIXING COEFFICIENT; NON-LINEARITY; POISSON SAMPLING; QUADRATIC FORM; QUADRATIC FORMS; STATE-DEPENDENT; STATIONARY DIFFUSION; STOCHASTIC PROCESS; TEMPORAL DEPENDENCE;

NUMBER THEORY; POISSON DISTRIBUTION; POISSON EQUATION; RANDOM PROCESSES; SPECTRAL DENSITY;

DIFFUSION;

EID: 77649272109     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.10.001     Document Type: Article

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