Can I read Nonlinearity and Temporal Dependence on EtoBox?

Nonlinearity and Temporal Dependence by Xiaohong Chen; Lars Peter Hansen; Marine Carrasco is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Nonlinearity and Temporal Dependence about?

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: ρ-mixing, β-mixing and α-mixing. Stationary diffusions that are ρ-mixing have mixing coefficients that decay exponentially to zero. When they fail to be ρ-mixing, they are still β-mixing and α-mixing; but coefficient decay is slower than exponential. For such processes we find transformations of the Markov states that have finite variances but infinite spectral densities at frequency zero. The resulting spectral densities behave like those of stochastic processes with long memory. Finally we show how state dependent, Poisson sampling alters the temporal dependence.

Who reads Nonlinearity and Temporal Dependence?

Author

Xiaohong Chen; Lars Peter Hansen; Marine Carrasco

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4076)

Published

2010

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)