Estimation of longrun variance of continuous time stochastic process using discrete sample

DOI10.1016/j.jeconom.2018.04.006zbMath1452.62945OpenAlexW2905194182WikidataQ128701667 ScholiaQ128701667MaRDI QIDQ2000826

Ye Lu, Joon Y. Park

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.04.006

zbMATH Keywords

kernel estimationbandwidth selectioncontinuous-time modellongrun variance estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (2)

Testing for stationarity at high frequency ⋮ Asymptotic F test in regressions with observations collected at high frequency over long span

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