Comovements Between Diffusion Processes

Valentina Corradi

Econometric Theory, 1997, vol. 13, issue 05, pages 646-666

Abstract: The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if X = (X1,,X2,;t and hypothesis testing, under different sampling schemes, are considered.

Date: 1997

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:13:y:1997:i:05:p:646-666_00

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