Nonlinearity and temporal dependence

2009/10/09 by Xiaohong Chen, Lars Peter Hansen, Marine Carrasco · 98 citations
Economics, Econometrics and Finance · Mathematics · #Diffusion #Exponential decay #Exponential function #Markov chain #Mathematical analysis #Mathematics #Mixing (physics) #Nonlinear system #Physics #Quantum mechanics #Statistical physics #Statistics #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Thermodynamics

paper · doi:10.1016/j.jeconom.2009.10.001

published in Journal of Econometrics 155(2), 155-169 (Elsevier BV)

openalex publication_date 2009/10/09 · crossref created 2009/10/09 · crossref issued 2010/04/01 · crossref published 2010/04/01 · crossref published-print 2010/04/01 · crossref deposited 2019/05/23 · openalex created_date 2025/10/10 · crossref indexed 2026/05/15 · openalex updated_date 2026/07/23

Citations

• Some Limit Theorems for Random Functions. II
• A long memory property of stock market returns and a new model
• Fractional Brownian Motions, Fractional Noises and Applications
• Log-Periodogram Regression of Time Series with Long Range Dependence
• Heat Kernels and Spectral Theory
• Some Limit Theorems for Random Functions. I

Cited by

• Robust Inference on Infinite and Growing Dimensional Time Series\n Regression
• Mixing (mathematics) [wikipedia]