Matches in SemOpenAlex for { <https://semopenalex.org/work/W2905194182> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W2905194182 endingPage "267" @default.
- W2905194182 startingPage "236" @default.
- W2905194182 abstract "This paper develops the methodology and asymptotic theory for the estimation of longrun variance of continuous time process. We analyze the asymptotic bias and variance of the longrun variance estimator in continuous time, and provide the optimal bandwidth balancing them off and minimizing the asymptotic mean squared error. In the paper, we present not only how to consistently estimate the longrun variance of continuous time process, but also how to choose bandwidth optimally with data dependent procedures, using discrete samples. Our framework is also useful to analyze the high frequency behaviors of usual longrun variance estimators for discrete time series. In particular, we show that they all diverge to infinity as the sampling frequency increases. The relevance and usefulness of our continuous time framework and asymptotic theory are demonstrated by illustration and simulation." @default.
- W2905194182 created "2018-12-22" @default.
- W2905194182 creator A5022547077 @default.
- W2905194182 creator A5072367924 @default.
- W2905194182 date "2019-06-01" @default.
- W2905194182 modified "2023-10-06" @default.
- W2905194182 title "Estimation of longrun variance of continuous time stochastic process using discrete sample" @default.
- W2905194182 cites W1487924164 @default.
- W2905194182 cites W1502284268 @default.
- W2905194182 cites W1582521485 @default.
- W2905194182 cites W1588163064 @default.
- W2905194182 cites W1906265146 @default.
- W2905194182 cites W1968493287 @default.
- W2905194182 cites W1979067774 @default.
- W2905194182 cites W2017448673 @default.
- W2905194182 cites W2044915205 @default.
- W2905194182 cites W2049705023 @default.
- W2905194182 cites W2051157494 @default.
- W2905194182 cites W2062831541 @default.
- W2905194182 cites W2108446661 @default.
- W2905194182 cites W2117178635 @default.
- W2905194182 cites W2119035500 @default.
- W2905194182 cites W2149189274 @default.
- W2905194182 cites W2151583757 @default.
- W2905194182 cites W2164622888 @default.
- W2905194182 cites W2171098928 @default.
- W2905194182 cites W2179874418 @default.
- W2905194182 cites W2798500723 @default.
- W2905194182 cites W3098647421 @default.
- W2905194182 cites W3121994487 @default.
- W2905194182 cites W3123270200 @default.
- W2905194182 cites W3124550551 @default.
- W2905194182 doi "https://doi.org/10.1016/j.jeconom.2018.04.006" @default.
- W2905194182 hasPublicationYear "2019" @default.
- W2905194182 type Work @default.
- W2905194182 sameAs 2905194182 @default.
- W2905194182 citedByCount "3" @default.
- W2905194182 countsByYear W29051941822020 @default.
- W2905194182 countsByYear W29051941822023 @default.
- W2905194182 crossrefType "journal-article" @default.
- W2905194182 hasAuthorship W2905194182A5022547077 @default.
- W2905194182 hasAuthorship W2905194182A5072367924 @default.
- W2905194182 hasConcept C105795698 @default.
- W2905194182 hasConcept C119047807 @default.
- W2905194182 hasConcept C121955636 @default.
- W2905194182 hasConcept C129848803 @default.
- W2905194182 hasConcept C144133560 @default.
- W2905194182 hasConcept C185429906 @default.
- W2905194182 hasConcept C196083921 @default.
- W2905194182 hasConcept C2776257435 @default.
- W2905194182 hasConcept C28826006 @default.
- W2905194182 hasConcept C31258907 @default.
- W2905194182 hasConcept C33923547 @default.
- W2905194182 hasConcept C41008148 @default.
- W2905194182 hasConcept C55689738 @default.
- W2905194182 hasConcept C971699 @default.
- W2905194182 hasConceptScore W2905194182C105795698 @default.
- W2905194182 hasConceptScore W2905194182C119047807 @default.
- W2905194182 hasConceptScore W2905194182C121955636 @default.
- W2905194182 hasConceptScore W2905194182C129848803 @default.
- W2905194182 hasConceptScore W2905194182C144133560 @default.
- W2905194182 hasConceptScore W2905194182C185429906 @default.
- W2905194182 hasConceptScore W2905194182C196083921 @default.
- W2905194182 hasConceptScore W2905194182C2776257435 @default.
- W2905194182 hasConceptScore W2905194182C28826006 @default.
- W2905194182 hasConceptScore W2905194182C31258907 @default.
- W2905194182 hasConceptScore W2905194182C33923547 @default.
- W2905194182 hasConceptScore W2905194182C41008148 @default.
- W2905194182 hasConceptScore W2905194182C55689738 @default.
- W2905194182 hasConceptScore W2905194182C971699 @default.
- W2905194182 hasIssue "2" @default.
- W2905194182 hasLocation W29051941821 @default.
- W2905194182 hasOpenAccess W2905194182 @default.
- W2905194182 hasPrimaryLocation W29051941821 @default.
- W2905194182 hasRelatedWork W1490906106 @default.
- W2905194182 hasRelatedWork W1511751337 @default.
- W2905194182 hasRelatedWork W2221502901 @default.
- W2905194182 hasRelatedWork W2258642604 @default.
- W2905194182 hasRelatedWork W2773067397 @default.
- W2905194182 hasRelatedWork W3123097227 @default.
- W2905194182 hasRelatedWork W3123329222 @default.
- W2905194182 hasRelatedWork W3124009792 @default.
- W2905194182 hasRelatedWork W3125855424 @default.
- W2905194182 hasRelatedWork W4287705507 @default.
- W2905194182 hasVolume "210" @default.
- W2905194182 isParatext "false" @default.
- W2905194182 isRetracted "false" @default.
- W2905194182 magId "2905194182" @default.
- W2905194182 workType "article" @default.