Testing diffusion processes for non-stationarity

DOI10.1007/s00186-008-0250-9zbMath1173.91025OpenAlexW2064125721MaRDI QIDQ1028540

Jeff Hamrick, Murad S. Taqqu

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://repository.usfca.edu/msan_fac/3

zbMATH Keywords

diffusionsstationarityexchange ratespurchasing power paritynonparametric estimation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic models in economics (91B70)

Related Items (2)

Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ Maximum penalized quasi-likelihood estimation of the diffusion function

Uses Software

• TTL
• RiskMetrics

Cites Work

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