Asymptotics for recurrent diffusions with application to high frequency regression

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• 作者：Jihyun Kim^a ; ^{jihyun.kim@tse-fr.eu" class="auth_mail" title="E-mail the corresponding author} ; Joon Y. Park^b ; ^c ; ^{joon@indiana.edu" class="auth_mail" title="E-mail the corresponding author}
• 关键词：C22 ; C58
• 刊名：Journal of Econometrics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：196
• 期：1
• 页码：37-54
• 全文大小：637 K

文摘

We provide the asymptotic theory for functionals of recurrent diffusions. Our asymptotics are completely general and applicable for all cases, including positive and null recurrent diffusions, and diffusions with and without the integrability conditions. They are established directly from the representation of diffusion as time-changed Brownian motion. Our approach provides a unified framework, and combines all existing theories of diffusion asymptotics with new results that appear to be particularly relevant in many practical applications. For an illustration of our asymptotics, we employ them to analyze a class of high frequency regressions that is commonly used in empirical economics and finance.