Nonlinearity and Temporal Dependence

Xiaohong Chen (), Lars Hansen and Marine Carrasco

No 1652R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: rho-mixing, beta-mixing and alpha-mixing. Stationary diffusions that are rho-mixing have mixing coefficients that decay exponentially to zero. When they fail to be rho-mixing, they are still beta-mixing and alpha-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.

Keywords: Diffusion; Strong dependence; Long memory; Poisson sampling; Quadratic forms (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C50 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2009-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d16/d1652-r.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Nonlinearity and temporal dependence (2010)
Working Paper: Nonlinearity and Temporal Dependence (2009)
Working Paper: Nonlinearity and Temporal Dependence (2008)
Working Paper: Nonlinearity and Temporal Dependence (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1652r

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().